"Optimal dynamic longevity hedge with basis risk."

Ken Seng Tan, Chengguo Weng, Jinggong Zhang (2022)

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DOI: 10.1016/J.EJOR.2021.05.055

access: closed

type: Journal Article

metadata version: 2022-10-02

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Ken Seng Tan, Chengguo Weng, Jinggong Zhang:
Optimal dynamic longevity hedge with basis risk. Eur. J. Oper. Res. 297(1): 325-337 (2022)

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