Longevity hedge effectiveness: a decomposition (Q2879022): Difference between revisions

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+W2061958304
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+Modeling the Forward Surface of Mortality
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+Stochastic mortality under measure changes
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+A Poisson log-bilinear regression approach to the construction of projected lifetables.
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+Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
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+Modelling and management of mortality risk: a review
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+Bayesian Poisson log-bilinear mortality projections
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+On systematic mortality risk and risk-minimization with survivor swaps
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+Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap
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+Evaluating the goodness of fit of stochastic mortality models
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+A Gravity Model of Mortality Rates for Two Related Populations
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+A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks
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+A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
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+Modeling and Forecasting U.S. Mortality
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+Measuring Basis Risk in Longevity Hedges
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+Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach
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+Stochastic Mortality: The Impact on Target Capital
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+A Bayesian forecasting model: predicting U.S. male mortality
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+Stochastic portfolio specific mortality and the quantification of mortality basis risk
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+Securitization, structuring and pricing of longevity risk
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+Can expected shortfall and Value-at-Risk be used to statically hedge options?
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