{"id":"https://openalex.org/W1843948847","doi":"https://doi.org/10.1111/mafi.12095","title":"RISK\u2010MINIMIZATION FOR LIFE INSURANCE LIABILITIES WITH DEPENDENT MORTALITY RISK","display_name":"RISK\u2010MINIMIZATION FOR LIFE INSURANCE LIABILITIES WITH DEPENDENT MORTALITY RISK","publication_year":2015,"publication_date":"2015-06-19","ids":{"openalex":"https://openalex.org/W1843948847","doi":"https://doi.org/10.1111/mafi.12095","mag":"1843948847"},"language":"en","primary_location":{"id":"doi:10.1111/mafi.12095","doi":"https://doi.org/10.1111/mafi.12095","is_oa":false,"landing_page_url":"https://doi.org/10.1111/mafi.12095","pdf_url":null,"source":{"id":"https://openalex.org/S133335107","display_name":"Mathematical Finance","issn_l":"0960-1627","issn":["0960-1627","1467-9965"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","fnege-2","jufo-2","ki-jl-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Finance","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5044090390","display_name":"Francesca Biagini","orcid":"https://orcid.org/0000-0001-9801-5259","observed_orcids":["https://orcid.org/0000-0001-9801-5259"]},"institutions":[{"id":"https://openalex.org/I8204097","display_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","ror":"https://ror.org/05591te55","country_code":"DE","type":"education","lineage":["https://openalex.org/I8204097"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Francesca Biagini","raw_affiliation_strings":["University of Munich"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Munich","institution_ids":["https://openalex.org/I8204097"]}]},{"author_position":"middle","author":{"id":null,"display_name":"Camila Botero","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I8204097","display_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","ror":"https://ror.org/05591te55","country_code":"DE","type":"education","lineage":["https://openalex.org/I8204097"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Camila Botero","raw_affiliation_strings":["University of Munich"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Munich","institution_ids":["https://openalex.org/I8204097"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5066954591","display_name":"Irene Schreiber","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I8204097","display_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","ror":"https://ror.org/05591te55","country_code":"DE","type":"education","lineage":["https://openalex.org/I8204097"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Irene Schreiber","raw_affiliation_strings":["University of Munich"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Munich","institution_ids":["https://openalex.org/I8204097"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5044090390"],"corresponding_institution_ids":["https://openalex.org/I8204097"],"apc_list":{"value":3840,"currency":"USD","value_usd":3840},"apc_paid":null,"fwci":4.2391,"has_fulltext":false,"cited_by_count":16,"citation_normalized_percentile":{"value":0.93827785,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"27","issue":"2","first_page":"505","last_page":"533"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9779999852180481,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9779999852180481,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.0066999997943639755,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.0066999997943639755,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/life-insurance-liabilities","display_name":"life insurance liabilities","score":0.921999990940094},{"id":"https://openalex.org/keywords/risk-minimization","display_name":"risk minimization","score":0.9200000166893005},{"id":"https://openalex.org/keywords/gaussian-random-fields","display_name":"Gaussian random fields","score":0.9490000009536743},{"id":"https://openalex.org/keywords/longevity-bonds","display_name":"longevity bonds","score":0.8370000123977661},{"id":"https://openalex.org/keywords/hedging","display_name":"hedging","score":0.6819999814033508},{"id":"https://openalex.org/keywords/insurance-portfolio","display_name":"insurance portfolio","score":0.4830000102519989},{"id":"https://openalex.org/keywords/age-cohorts","display_name":"age cohorts","score":0.8270000219345093}],"concepts":[{"id":"https://openalex.org/C3020299011","wikidata":"https://www.wikidata.org/wiki/Q626608","display_name":"Life insurance","level":2,"score":0.7789456844329834},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7447736263275146},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.674162745475769},{"id":"https://openalex.org/C2781386606","wikidata":"https://www.wikidata.org/wiki/Q6673769","display_name":"Longevity risk","level":3,"score":0.5920899510383606},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4972389042377472},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4965260624885559},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4646883010864258},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.4315212666988373},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.31421226263046265},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2811328172683716},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.19747617840766907},{"id":"https://openalex.org/C2780899237","wikidata":"https://www.wikidata.org/wiki/Q156223","display_name":"Pension","level":2,"score":0.1814134120941162},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1503199338912964},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1111/mafi.12095","doi":"https://doi.org/10.1111/mafi.12095","is_oa":false,"landing_page_url":"https://doi.org/10.1111/mafi.12095","pdf_url":null,"source":{"id":"https://openalex.org/S133335107","display_name":"Mathematical Finance","issn_l":"0960-1627","issn":["0960-1627","1467-9965"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","fnege-2","jufo-2","ki-jl-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Finance","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G120984652","display_name":null,"funder_award_id":"FP7/2007/2013","funder_id":"https://openalex.org/F4320334678","funder_display_name":"European Research Council"}],"funders":[{"id":"https://openalex.org/F4320334678","display_name":"European Research Council","ror":"https://ror.org/0472cxd90"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":48,"referenced_works":["https://openalex.org/W1493238038","https://openalex.org/W1533819021","https://openalex.org/W1580561995","https://openalex.org/W1663757356","https://openalex.org/W1744758763","https://openalex.org/W1781698703","https://openalex.org/W1847598052","https://openalex.org/W1969498530","https://openalex.org/W1990911167","https://openalex.org/W1995522593","https://openalex.org/W1998031535","https://openalex.org/W2001244105","https://openalex.org/W2019648105","https://openalex.org/W2041385333","https://openalex.org/W2048209332","https://openalex.org/W2057853952","https://openalex.org/W2065660452","https://openalex.org/W2074545309","https://openalex.org/W2081877251","https://openalex.org/W2082134300","https://openalex.org/W2093581419","https://openalex.org/W2101518413","https://openalex.org/W2108450721","https://openalex.org/W2114915197","https://openalex.org/W2115102690","https://openalex.org/W2116009698","https://openalex.org/W2118490444","https://openalex.org/W2130906284","https://openalex.org/W2141553554","https://openalex.org/W2157797716","https://openalex.org/W2170444200","https://openalex.org/W2178007548","https://openalex.org/W2223336577","https://openalex.org/W2477771998","https://openalex.org/W2579190672","https://openalex.org/W2983836991","https://openalex.org/W3021444882","https://openalex.org/W3121296625","https://openalex.org/W3121882339","https://openalex.org/W3123112376","https://openalex.org/W3123321876","https://openalex.org/W3123486469","https://openalex.org/W3124436296","https://openalex.org/W3124666067","https://openalex.org/W3125074517","https://openalex.org/W4205302168","https://openalex.org/W4292198165","https://openalex.org/W4293092461"],"related_works":["https://openalex.org/W2114915197","https://openalex.org/W2178007548","https://openalex.org/W2065660452","https://openalex.org/W7097777969","https://openalex.org/W4391385971","https://openalex.org/W7207685905","https://openalex.org/W1988959228","https://openalex.org/W2176282676","https://openalex.org/W2974645000","https://openalex.org/W4313825708"],"abstract_inverted_index":{"In":[0],"this":[1,85],"paper,":[2],"we":[3,51],"study":[4],"the":[5,25,30,44,49,56,88,123],"pricing":[6],"and":[7,79,111,116,122],"hedging":[8],"of":[9,24,34,36,48,84,91,104,119,126],"typical":[10],"life":[11,95],"insurance":[12,16,31,96,101],"liabilities":[13,97],"for":[14,55,94],"an":[15,100],"portfolio":[17,32,102],"with":[18,75],"dependent":[19],"mortality":[20,57,77],"risk":[21],"by":[22],"means":[23],"well\u2010known":[26],"risk\u2010minimization":[27],"approach.":[28],"As":[29],"consists":[33],"individuals":[35],"different":[37,127],"age":[38,128],"cohorts":[39],"in":[40],"order":[41],"to":[42],"capture":[43],"cross\u2010generational":[45],"dependency":[46],"structure":[47],"portfolio,":[50],"introduce":[52],"affine":[53],"models":[54],"intensities":[58],"based":[59],"on":[60,99],"Gaussian":[61],"random":[62],"fields":[63],"that":[64],"deliver":[65],"analytically":[66],"tractable":[67],"results.":[68],"We":[69],"also":[70],"provide":[71],"specific":[72],"examples":[73],"consistent":[74],"historical":[76],"data":[78],"correlation":[80],"structures.":[81],"Main":[82],"novelties":[83],"work":[86],"are":[87],"explicit":[89],"computations":[90],"risk\u2010minimizing":[92],"strategies":[93],"written":[98],"composed":[103],"primary":[105],"financial":[106],"assets":[107],"(a":[108],"risky":[109],"asset":[110],"a":[112,117],"money":[113],"market":[114],"account)":[115],"family":[118],"longevity":[120],"bonds,":[121],"simultaneous":[124],"consideration":[125],"cohorts.":[129]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}