Editorial: Longevity risk and capital markets: the 2013--14 update (Q492624): Difference between revisions

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+https://doi.org/10.1016/j.insmatheco.2015.03.015
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+W3124898712
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@@ Property / cites work @@
+Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions
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+Rethinking age-period-cohort mortality trend models
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+Systematic and Nonsystematic Mortality Risk in Pension Portfolios
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+Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
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+Pricing<i>q</i>-forward contracts: an evaluation of estimation window and pricing method under different mortality models
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+Modeling the Forward Surface of Mortality
@@ Property / cites work: Modeling the Forward Surface of Mortality / rank @@
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+On the pricing of longevity-linked securities
@@ Property / cites work: On the pricing of longevity-linked securities / rank @@
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+Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
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+The impact of multiple structural changes on mortality predictions
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+Affine processes for dynamic mortality and actuarial valuations
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+Securitizing and tranching longevity exposures
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+Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers
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+Stochastic mortality under measure changes
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+Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
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+Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds
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+Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
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+A Poisson log-bilinear regression approach to the construction of projected lifetables.
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+Q3562659
@@ Property / cites work: Q3562659 / rank @@
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+Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
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+Modelling and management of mortality risk: a review
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+A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
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+Longevity hedge effectiveness: a decomposition
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+The CBD Mortality Indexes: Modeling and Applications
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+Longevity bond premiums: the extreme value approach and risk cubic pricing
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+On the robustness of longevity risk pricing
@@ Property / cites work: On the robustness of longevity risk pricing / rank @@
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+Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform
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+Natural Hedging of Life and Annuity Mortality Risks
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+Mortality risk modeling: applications to insurance securitization
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+On fitting generalized linear and non-linear models of mortality
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+Smoothing and forecasting mortality rates
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+Bayesian Poisson log-bilinear mortality projections
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+Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
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+Valuation and hedging of life insurance liabilities with systematic mortality risk
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+Modelling dependent data for longevity projections
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+Detecting Common Longevity Trends by a Multiple Population Approach
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+The stratified sampling bootstrap for measuring the uncertainty in mortality forecasts
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+Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting
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+An index for longevity risk transfer
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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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+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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+Evaluating the advanced life deferred annuity -- an annuity people might actually buy
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+Quadratic stochastic intensity and prospective mortality tables
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+On age-period-cohort parametric mortality rate projections
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+Parametric mortality improvement rate modelling and projecting
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+Modelling and projecting mortality improvement rates using a cohort perspective
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+Multidimensional Lee-Carter model with switching mortality processes
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+Estimating the term structure of mortality
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+A parameterized approach to modeling and forecasting mortality
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+A dynamic parameterization modeling for the age-period-cohort mortality
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+Life-cycle asset allocation with annuity markets
@@ Property / cites work: Life-cycle asset allocation with annuity markets / rank @@
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+Optimal retirement consumption with a stochastic force of mortality
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+A General Procedure for Constructing Mortality Models
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+Modelling Adult Mortality in Small Populations: The Saint Model
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+A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
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+A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages
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+Optimal Annuity Risk Management*
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+Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
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+Forecasting with the age-period-cohort model and the extended chain-ladder model
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+Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
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+Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting 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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+Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk
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+An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation
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+Gender Convergence in Human Survival and the Postponement of Death
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+The role of longevity bonds in optimal portfolios
@@ Property / cites work: The role of longevity bonds in optimal portfolios / rank @@
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+Mortality derivatives and the option to annuitise.
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+Annuitization and asset allocation
@@ Property / cites work: Annuitization and asset allocation / rank @@
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+Mortality Regimes and Pricing
@@ Property / cites work: Mortality Regimes and Pricing / rank @@
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+Modeling and forecasting mortality rates
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+Identification and forecasting in mortality models
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+Assessing the cost of capital for longevity risk
@@ Property / cites work: Assessing the cost of capital for longevity risk / rank @@
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+A Bayesian forecasting model: predicting U.S. male mortality
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+On stochastic mortality modeling
@@ Property / cites work: On stochastic mortality modeling / rank @@
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+Stochastic portfolio specific mortality and the quantification of mortality basis risk
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+Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
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+Lee-Carter mortality forecasting with age-specific enhancement.
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+A cohort-based extension to the Lee-Carter model for mortality reduction factors
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+On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
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+Calibrating affine stochastic mortality models using term assurance premiums
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+A recursive approach to mortality-linked derivative pricing
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+Longevity bond pricing under stochastic interest rate and mortality with regime-switching
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+Longevity risk in pension annuities with exchange options: the effect of product design
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+On the optimal product mix in life insurance companies using conditional value at risk
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+Hedging Longevity Risk When Interest Rates are Uncertain
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+On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England
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+Securitization of Longevity Risk in Reverse Mortgages
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+Securitization, structuring and pricing of longevity risk
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+Pricing and securitization of multi-country longevity risk with mortality dependence
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+Valuation of the interest rate guarantee embedded in defined contribution pension plans
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+Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models
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+Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II
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+A Cautionary Note on Natural Hedging of Longevity Risk
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+Publication:492624