Ken Seng Tan, Chengguo Weng, Jinggong Zhang. Optimal dynamic longevity hedge with basis risk. European Journal of Operational Research, 297(1):325-337, 2022. [doi]
@article{TanWZ22,
title = {Optimal dynamic longevity hedge with basis risk},
author = {Ken Seng Tan and Chengguo Weng and Jinggong Zhang},
year = {2022},
doi = {10.1016/j.ejor.2021.05.055},
url = {https://doi.org/10.1016/j.ejor.2021.05.055},
researchr = {https://researchr.org/publication/TanWZ22},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {297},
number = {1},
pages = {325-337},
}