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North American Actuarial Journal Volume 25, 2021 - Issue sup1: Longevity Risk and Capital Markets - Longevity 12 and Longevity 13
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Longevity 12 Articles

Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?

Kenneth Q. Zhou1 Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, CanadaView further author information
&
Johnny Siu-Hang Li2 Department of Economics, The University of Melbourne, Melbourne, Victoria, AustraliaCorrespondence[email protected]
View further author information
Pages S66-S96 | Published online: 21 Nov 2019

Citations (6)

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Read on this site (3)

Di Wang & Wai-Sum Chan. (2022) Backcasting Mortality in England and Wales, 1600–1840. North American Actuarial Journal 26:1, pages 102-122.
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Yanxin Liu & Johnny Siu-Hang Li. (2021) An Efficient Method for Mitigating Longevity Value-at-Risk. North American Actuarial Journal 25:sup1, pages S309-S340.
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David Blake, Richard MacMinn, Jason Chenghsien Tsai & Jennifer Wang. (2021) Longevity Risk and Capital Markets: The 2017–2018 Update. North American Actuarial Journal 25:sup1, pages S280-S308.
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Articles from other publishers (3)

Hongjuan Zhou, Kenneth Q. Zhou & Xianping Li. (2022) Stochastic mortality dynamics driven by mixed fractional Brownian motion. Insurance: Mathematics and Economics 106, pages 218-238.
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David Blake & Andrew J.G. Cairns. (2021) Longevity risk and capital markets: The 2019-20 update. Insurance: Mathematics and Economics 99, pages 395-439.
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Kenneth Q. Zhou & Johnny Siu-Hang Li. (2020) Asymmetry in mortality volatility and its implications on index-based longevity hedging. Annals of Actuarial Science 14:2, pages 278-301.
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