Optimal Dynamic Longevity Hedge with Basis Risk

Article Properties
Cite
Weng, Chengguo, et al. “Optimal Dynamic Longevity Hedge With Basis Risk”. SSRN Electronic Journal, 2020, https://doi.org/10.2139/ssrn.3638370.
Weng, C., Tan, K. S., & Zhang, J. (2020). Optimal Dynamic Longevity Hedge with Basis Risk. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3638370
Weng, Chengguo, Ken Seng Tan, and Jingong Zhang. “Optimal Dynamic Longevity Hedge With Basis Risk”. SSRN Electronic Journal, 2020. https://doi.org/10.2139/ssrn.3638370.
Weng C, Tan KS, Zhang J. Optimal Dynamic Longevity Hedge with Basis Risk. SSRN Electronic Journal. 2020;.
Refrences
Title Journal Journal Categories Citations Publication Date
The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors European Journal of Operational Research
  • Technology: Manufactures: Production management. Operations management
  • Technology: Technology (General): Industrial engineering. Management engineering
  • Technology: Engineering (General). Civil engineering (General)
 27 2021
Indifference pricing of insurance-linked securities in a multi-period model European Journal of Operational Research
  • Technology: Manufactures: Production management. Operations management
  • Technology: Technology (General): Industrial engineering. Management engineering
  • Technology: Engineering (General). Civil engineering (General)
 8 2021
Assessing basis risk in index-based longevity swap transactions

 Annals of Actuarial Science
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Statistics
  • Social Sciences: Finance
  • Science: Mathematics
 2 2019
Longevity: a new asset class Journal of Asset Management
  • Social Sciences: Finance
 5 2018
Basis risk in static versus dynamic longevity-risk hedging Scandinavian Actuarial Journal
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Statistics
  • Social Sciences: Sociology (General)
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 13 2017
Refrences Analysis
Category Category Repetition
Social Sciences: Economic theory. Demography: Economics as a science19
Science: Mathematics11
Social Sciences: Statistics11
Social Sciences: Commerce: Business11
Science: Mathematics: Probabilities. Mathematical statistics10
Technology: Manufactures: Production management. Operations management6
Technology: Technology (General): Industrial engineering. Management engineering6
Technology: Engineering (General). Civil engineering (General)6
Social Sciences: Finance6
Social Sciences: Sociology (General)4
Social Sciences: Economic theory. Demography1
Social Sciences1
The category Social Sciences: Economic theory. Demography: Economics as a science 19 is the most frequently represented among the references in this article. It primarily includes studies from European Journal of Operational Research and North American Actuarial Journal. The chart below illustrates the number of referenced publications per year.
Refrences used by this article by year