Longevity risk and capital markets: the 2019--20 update (Q2038265): Difference between revisions

@@ Property / cites work @@
+A new defined benefit pension risk measurement methodology
+Normal rank
@@ Property / cites work @@
+Mind the Gap: A Study of Cause-Specific Mortality by Socioeconomic Circumstances
+Normal rank
@@ Property / cites work @@
+Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions
+Normal rank
@@ Property / cites work @@
+Rethinking age-period-cohort mortality trend models
+Normal rank
@@ Property / cites work @@
+Bayesian Poisson log-bilinear models for mortality projections with multiple populations
+Normal rank
@@ Property / cites work @@
+Improving the Forecast of Longevity by Combining Models
+Normal rank
@@ Property / cites work @@
+Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence
+Normal rank
@@ Property / cites work @@
+Causes-of-Death Mortality: What Do We Know on Their Dependence?
+Normal rank
@@ Property / cites work @@
+INTERNATIONAL CAUSE-SPECIFIC MORTALITY RATES: NEW INSIGHTS FROM A COINTEGRATION ANALYSIS
+Normal rank
@@ Property / cites work @@
+Systematic and Nonsystematic Mortality Risk in Pension Portfolios
+Normal rank
@@ Property / cites work @@
+Model-independent price bounds for catastrophic mortality bonds
+Normal rank
@@ Property / cites work @@
+Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
+Normal rank
@@ Property / cites work @@
+Understanding, modelling and managing longevity risk: key issues and main challenges
+Normal rank
@@ Property / cites work @@
+Pricing<i>q</i>-forward contracts: an evaluation of estimation window and pricing method under different mortality models
+Normal rank
@@ Property / cites work @@
+An age-at-death distribution approach to forecast cohort mortality
+Normal rank
@@ Property / cites work @@
+On the pricing of longevity-linked securities
@@ Property / cites work: On the pricing of longevity-linked securities / rank @@
+Normal rank
@@ Property / cites work @@
+Evaluating Life Expectancy Evaluations
@@ Property / cites work: Evaluating Life Expectancy Evaluations / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
+Normal rank
@@ Property / cites work @@
+Modern tontine with bequest: innovation in pooled annuity products
+Normal rank
@@ Property / cites work @@
+Affine processes for dynamic mortality and actuarial valuations
+Normal rank
@@ Property / cites work @@
+Securitizing and tranching longevity exposures
@@ Property / cites work: Securitizing and tranching longevity exposures / rank @@
+Normal rank
@@ Property / cites work @@
+Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers
+Normal rank
@@ Property / cites work @@
+Stochastic mortality under measure changes
@@ Property / cites work: Stochastic mortality under measure changes / rank @@
+Normal rank
@@ Property / cites work @@
+Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
+Normal rank
@@ Property / cites work @@
+LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS
+Normal rank
@@ Property / cites work @@
+Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds
+Normal rank
@@ Property / cites work @@
+Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
+Normal rank
@@ Property / cites work @@
+Modeling trend processes in parametric mortality models
+Normal rank
@@ Property / cites work @@
+Improving HMD Mortality Estimates with HFD Fertility Data
+Normal rank
@@ Property / cites work @@
+Cause-of-death mortality: what can be learned from population dynamics?
+Normal rank
@@ Property / cites work @@
+A NEW INFERENCE STRATEGY FOR GENERAL POPULATION MORTALITY TABLES
+Normal rank
@@ Property / cites work @@
+Valuation of longevity-linked life annuities
@@ Property / cites work: Valuation of longevity-linked life annuities / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing longevity derivatives via Fourier transforms
+Normal rank
@@ Property / cites work @@
+Bootstrapping the Poisson log-bilinear model for mortality forecasting
+Normal rank
@@ Property / cites work @@
+A Poisson log-bilinear regression approach to the construction of projected lifetables.
+Normal rank
@@ Property / cites work @@
+Q3562659
@@ Property / cites work: Q3562659 / rank @@
+Normal rank
@@ Property / cites work @@
+Unisex pricing of German participating life annuities -- boon or bane for customer and insurance company?
+Normal rank
@@ Property / cites work @@
+Identifiability issues of age-period and age-period-cohort models of the Lee-Carter type
+Normal rank
@@ Property / cites work @@
+Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
+Normal rank
@@ Property / cites work @@
+Modelling and management of mortality risk: a review
+Normal rank
@@ Property / cites work @@
+A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
+Normal rank
@@ Property / cites work @@
+Longevity hedge effectiveness: a decomposition
@@ Property / cites work: Longevity hedge effectiveness: a decomposition / rank @@
+Normal rank
@@ Property / cites work @@
+Basis Risk in Index-Based Longevity Hedges: A Guide for Longevity Hedgers
+Normal rank
@@ Property / cites work @@
+The CBD Mortality Indexes: Modeling and Applications
+Normal rank
@@ Property / cites work @@
+Options on tontines: an innovative way of combining tontines and annuities
+Normal rank
@@ Property / cites work @@
+ON THE OPTIMAL COMBINATION OF ANNUITIES AND TONTINES
+Normal rank
@@ Property / cites work @@
+On the robustness of longevity risk pricing
@@ Property / cites work: On the robustness of longevity risk pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Longevity bond premiums: the extreme value approach and risk cubic pricing
+Normal rank
@@ Property / cites work @@
+Multi-population mortality models: a factor copula approach
+Normal rank
@@ Property / cites work @@
+Sex-specific mortality forecasting for UK countries: a coherent approach
+Normal rank
@@ Property / cites work @@
+Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform
+Normal rank
@@ Property / cites work @@
+Natural Hedging of Life and Annuity Mortality Risks
+Normal rank
@@ Property / cites work @@
+Optimal Longevity Risk Transfer and Investment Strategies
+Normal rank
@@ Property / cites work @@
+Mortality risk modeling: applications to insurance securitization
+Normal rank
@@ Property / cites work @@
+Pension risk management with funding and buyout options
+Normal rank
@@ Property / cites work @@
+Spatial patterns of mortality in the United States: a spatial filtering approach
+Normal rank
@@ Property / cites work @@
+On fitting generalized linear and non-linear models of mortality
+Normal rank
@@ Property / cites work @@
+Smoothing and forecasting mortality rates
@@ Property / cites work: Smoothing and forecasting mortality rates / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian Poisson log-bilinear mortality projections
+Normal rank
@@ Property / cites work @@
+Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
+Normal rank
@@ Property / cites work @@
+Valuation and hedging of life insurance liabilities with systematic mortality risk
+Normal rank
@@ Property / cites work @@
+De-risking strategy: longevity spread buy-in
@@ Property / cites work: De-risking strategy: longevity spread buy-in / rank @@
+Normal rank
@@ Property / cites work @@
+Modelling dependent data for longevity projections
+Normal rank
@@ Property / cites work @@
+Detecting Common Longevity Trends by a Multiple Population Approach
+Normal rank
@@ Property / cites work @@
+The stratified sampling bootstrap for measuring the uncertainty in mortality forecasts
+Normal rank
@@ Property / cites work @@
+Forecasting mortality in subpopulations using Lee-Carter type models: a comparison
+Normal rank
@@ Property / cites work @@
+Characterization of between-group inequality of longevity in European union countries
+Normal rank
@@ Property / cites work @@
+Do actuaries believe in longevity deceleration?
@@ Property / cites work: Do actuaries believe in longevity deceleration? / rank @@
+Normal rank
@@ Property / cites work @@
+Extending Lee–Carter Mortality Forecasting
@@ Property / cites work: Extending Lee–Carter Mortality Forecasting / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent modeling of male and female mortality using Lee-Carter in a complex number framework
+Normal rank
@@ Property / cites work @@
+A more meaningful parameterization of the Lee-Carter model
+Normal rank
@@ Property / cites work @@
+Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting
+Normal rank
@@ Property / cites work @@
+An index for longevity risk transfer
@@ Property / cites work: An index for longevity risk transfer / rank @@
+Normal rank
@@ Property / cites work @@
+Machine learning techniques for mortality modeling
+Normal rank
@@ Property / cites work @@
+Quantifying mortality risk in small defined-benefit pension schemes
+Normal rank
@@ Property / cites work @@
+A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks
+Normal rank
@@ Property / cites work @@
+The valuation of no-negative equity guarantees and equity release mortgages
+Normal rank
@@ Property / cites work @@
+Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model
+Normal rank
@@ Property / cites work @@
+Evaluating the goodness of fit of stochastic mortality models
+Normal rank
@@ Property / cites work @@
+A Gravity Model of Mortality Rates for Two Related Populations
+Normal rank
@@ Property / cites work @@
+Multi-population mortality models: fitting, forecasting and comparisons
+Normal rank
@@ Property / cites work @@
+Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
+Normal rank
@@ Property / cites work @@
+Extreme Value Analysis of Mortality at the Oldest Ages: A Case Study Based on Individual Ages at Death
+Normal rank
@@ Property / cites work @@
+Evaluating the advanced life deferred annuity -- an annuity people might actually buy
+Normal rank
@@ Property / cites work @@
+Love and death: a Freund model with frailty
@@ Property / cites work: Love and death: a Freund model with frailty / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic stochastic intensity and prospective mortality tables
+Normal rank
@@ Property / cites work @@
+Forecasting mortality rate improvements with a high-dimensional VAR
+Normal rank
@@ Property / cites work @@
+Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices
+Normal rank
@@ Property / cites work @@
+On age-period-cohort parametric mortality rate projections
+Normal rank
@@ Property / cites work @@
+Parametric mortality improvement rate modelling and projecting
+Normal rank
@@ Property / cites work @@
+Modelling and projecting mortality improvement rates using a cohort perspective
+Normal rank
@@ Property / cites work @@
+Multidimensional Lee-Carter model with switching mortality processes
+Normal rank
@@ Property / cites work @@
+A NEURAL-NETWORK ANALYZER FOR MORTALITY FORECAST
@@ Property / cites work: A NEURAL-NETWORK ANALYZER FOR MORTALITY FORECAST / rank @@
+Normal rank
@@ Property / cites work @@
+A dynamic equivalence principle for systematic longevity risk management
+Normal rank
@@ Property / cites work @@
+Estimating the term structure of mortality
@@ Property / cites work: Estimating the term structure of mortality / rank @@
+Normal rank
@@ Property / cites work @@
+A parameterized approach to modeling and forecasting mortality
+Normal rank
@@ Property / cites work @@
+A dynamic parameterization modeling for the age-period-cohort mortality
+Normal rank
@@ Property / cites work @@
+Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
+Normal rank
@@ Property / cites work @@
+Life-cycle asset allocation with annuity markets
@@ Property / cites work: Life-cycle asset allocation with annuity markets / rank @@
+Normal rank
@@ Property / cites work @@
+Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools
+Normal rank
@@ Property / cites work @@
+Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
+Normal rank
@@ Property / cites work @@
+Optimal retirement consumption with a stochastic force of mortality
+Normal rank
@@ Property / cites work @@
+A General Procedure for Constructing Mortality Models
+Normal rank
@@ Property / cites work @@
+Modelling longevity bonds: analysing the Swiss Re Kortis bond
+Normal rank
@@ Property / cites work @@
+MODELLING MORTALITY FOR PENSION SCHEMES
@@ Property / cites work: MODELLING MORTALITY FOR PENSION SCHEMES / rank @@
+Normal rank
@@ Property / cites work @@
+Identifiability, cointegration and the gravity model
+Normal rank
@@ Property / cites work @@
+On the Structure and Classification of Mortality Models
+Normal rank
@@ Property / cites work @@
+A Bayesian Approach to Modeling and Projecting Cohort Effects
+Normal rank
@@ Property / cites work @@
+Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing
+Normal rank
@@ Property / cites work @@
+Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies
+Normal rank
@@ Property / cites work @@
+FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY
+Normal rank
@@ Property / cites work @@
+Modelling Adult Mortality in Small Populations: The Saint Model
+Normal rank
@@ Property / cites work @@
+Pitfalls and merits of cointegration-based mortality models
+Normal rank
@@ Property / cites work @@
+A continuous-time stochastic model for the mortality surface of multiple populations
+Normal rank
@@ Property / cites work @@
+A common age effect model for the mortality of multiple populations
+Normal rank
@@ Property / cites work @@
+Parameter risk in time-series mortality forecasts
@@ Property / cites work: Parameter risk in time-series mortality forecasts / rank @@
+Normal rank
@@ Property / cites work @@
+Mortality Forecasts for Long-Term Care Subpopulations with Longevity Risk: A Bayesian Approach
+Normal rank
@@ Property / cites work @@
+A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
+Normal rank
@@ Property / cites work @@
+A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages
+Normal rank
@@ Property / cites work @@
+Optimal Annuity Risk Management*
@@ Property / cites work: Optimal Annuity Risk Management* / rank @@
+Normal rank
@@ Property / cites work @@
+Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
+Normal rank
@@ Property / cites work @@
+Forecasting with the age-period-cohort model and the extended chain-ladder model
+Normal rank
@@ Property / cites work @@
+Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting U.S. Mortality
@@ Property / cites work: Modeling and Forecasting U.S. Mortality / rank @@
+Normal rank
@@ Property / cites work @@
+Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
+Normal rank
@@ Property / cites work @@
+Inference pitfalls in Lee-Carter model for forecasting mortality
+Normal rank
@@ Property / cites work @@
+A comparative study of pricing approaches for longevity instruments
+Normal rank
@@ Property / cites work @@
+DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY
+Normal rank
@@ Property / cites work @@
+The choice of sample size for mortality forecasting: a Bayesian learning approach
+Normal rank
@@ Property / cites work @@
+A forecast reconciliation approach to cause-of-death mortality modeling
+Normal rank
@@ Property / cites work @@
+COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH
+Normal rank
@@ Property / cites work @@
+Semi-parametric extensions of the Cairns-Blake-Dowd model: a one-dimensional kernel smoothing approach
+Normal rank
@@ Property / cites work @@
+A Flexible Functional Form Approach To Mortality Modeling: Do We Need Additional Cohort Dummies?
+Normal rank
@@ Property / cites work @@
+A semiparametric panel approach to mortality modeling
+Normal rank
@@ Property / cites work @@
+ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION
+Normal rank
@@ Property / cites work @@
+Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
+Normal rank
@@ Property / cites work @@
+Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality
+Normal rank
@@ Property / cites work @@
+Measuring Basis Risk in Longevity Hedges
@@ Property / cites work: Measuring Basis Risk in Longevity Hedges / rank @@
+Normal rank
@@ Property / cites work @@
+Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach
+Normal rank
@@ Property / cites work @@
+Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes
+Normal rank
@@ Property / cites work @@
+Key Q-Duration: A Framework for Hedging Longevity Risk
+Normal rank
@@ Property / cites work @@
+A step-by-step guide to building two-population stochastic mortality models
+Normal rank
@@ Property / cites work @@
+The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multistate Latent Factor Model for Transition Rates
+Normal rank
@@ Property / cites work @@
+Applications of Mortality Durations and Convexities in Natural Hedges
+Normal rank
@@ Property / cites work @@
+NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES
+Normal rank
@@ Property / cites work @@
+Hedging Mortality/Longevity Risks for Multiple Years
+Normal rank
@@ Property / cites work @@
+An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation
+Normal rank
@@ Property / cites work @@
+De-risking defined benefit plans
@@ Property / cites work: De-risking defined benefit plans / rank @@
+Normal rank
@@ Property / cites work @@
+Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk
+Normal rank
@@ Property / cites work @@
+It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk
+Normal rank
@@ Property / cites work @@
+THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK
+Normal rank
@@ Property / cites work @@
+A strategy for hedging risks associated with period and cohort effects using q-forwards
+Normal rank
@@ Property / cites work @@
+An Efficient Method for Mitigating Longevity Value-at-Risk
+Normal rank
@@ Property / cites work @@
+BIAS-CORRECTED INFERENCE FOR A MODIFIED LEE–CARTER MORTALITY MODEL
+Normal rank
@@ Property / cites work @@
+GAUSSIAN PROCESS MODELS FOR MORTALITY RATES AND IMPROVEMENT FACTORS
+Normal rank
@@ Property / cites work @@
+A Multi-population Approach to Forecasting All-Cause Mortality Using Cause-of-Death Mortality Data
+Normal rank
@@ Property / cites work @@
+The choice of trigger in an insurance linked security: the mortality risk case
+Normal rank
@@ Property / cites work @@
+Hedging Longevity Risk: Does the Structure of the Financial Instrument Matter?
+Normal rank
@@ Property / cites work @@
+Stochastic Mortality Modeling: Key Drivers and Dependent Residuals
+Normal rank
@@ Property / cites work @@
+Flexible and Affordable Methods of Paying for Long-Term Care Insurance
+Normal rank
@@ Property / cites work @@
+Gender Convergence in Human Survival and the Postponement of Death
+Normal rank
@@ Property / cites work @@
+An Investigation into Inequalities in Adult Lifespan
+Normal rank
@@ Property / cites work @@
+An Analysis of Period and Cohort Mortality Shocks in International Data
+Normal rank
@@ Property / cites work @@
+The role of longevity bonds in optimal portfolios
@@ Property / cites work: The role of longevity bonds in optimal portfolios / rank @@
+Normal rank
@@ Property / cites work @@
+Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age?
+Normal rank
@@ Property / cites work @@
+Mortality derivatives and the option to annuitise.
+Normal rank
@@ Property / cites work @@
+Optimal retirement income tontines
@@ Property / cites work: Optimal retirement income tontines / rank @@
+Normal rank
@@ Property / cites work @@
+Annuitization and asset allocation
@@ Property / cites work: Annuitization and asset allocation / rank @@
+Normal rank
@@ Property / cites work @@
+Mortality Regimes and Pricing
@@ Property / cites work: Mortality Regimes and Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling and forecasting mortality rates
@@ Property / cites work: Modeling and forecasting mortality rates / rank @@
+Normal rank
@@ Property / cites work @@
+Five different distributions for the Lee-Carter model of mortality forecasting: a comparison using GAS models
+Normal rank
@@ Property / cites work @@
+Identification and forecasting in mortality models
+Normal rank
@@ Property / cites work @@
+Modeling mortality with a Bayesian vector autoregression
+Normal rank
@@ Property / cites work @@
+Assessing the cost of capital for longevity risk
@@ Property / cites work: Assessing the cost of capital for longevity risk / rank @@
+Normal rank
@@ Property / cites work @@
+The double-gap life expectancy forecasting model
@@ Property / cites work: The double-gap life expectancy forecasting model / rank @@
+Normal rank
@@ Property / cites work @@
+A Bayesian forecasting model: predicting U.S. male mortality
+Normal rank
@@ Property / cites work @@
+SMOOTHING POISSON COMMON FACTOR MODEL FOR PROJECTING MORTALITY JOINTLY FOR BOTH SEXES
+Normal rank
@@ Property / cites work @@
+On stochastic mortality modeling
@@ Property / cites work: On stochastic mortality modeling / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic portfolio specific mortality and the quantification of mortality basis risk
+Normal rank
@@ Property / cites work @@
+Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
+Normal rank
@@ Property / cites work @@
+Lee-Carter mortality forecasting with age-specific enhancement.
+Normal rank
@@ Property / cites work @@
+A cohort-based extension to the Lee-Carter model for mortality reduction factors
+Normal rank
@@ Property / cites work @@
+On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio Choice in Retirement With Participating Life Annuities
+Normal rank
@@ Property / cites work @@
+Calibrating affine stochastic mortality models using term assurance premiums
+Normal rank
@@ Property / cites work @@
+Extending the Lee–Carter model: a three-way decomposition
+Normal rank
@@ Property / cites work @@
+AGE-SPECIFIC ADJUSTMENT OF GRADUATED MORTALITY
@@ Property / cites work: AGE-SPECIFIC ADJUSTMENT OF GRADUATED MORTALITY / rank @@
+Normal rank
@@ Property / cites work @@
+Rising Inequality in Life Expectancy by Socioeconomic Status
+Normal rank
@@ Property / cites work @@
+A multivariate evolutionary credibility model for mortality improvement rates
+Normal rank
@@ Property / cites work @@
+Mortality options: the point of view of an insurer
+Normal rank
@@ Property / cites work @@
+DYNAMIC PRINCIPAL COMPONENT REGRESSION: APPLICATION TO AGE-SPECIFIC MORTALITY FORECASTING
+Normal rank
@@ Property / cites work @@
+A recursive approach to mortality-linked derivative pricing
+Normal rank
@@ Property / cites work @@
+Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
+Normal rank
@@ Property / cites work @@
+Longevity bond pricing under stochastic interest rate and mortality with regime-switching
+Normal rank
@@ Property / cites work @@
+Cohort and value-based multi-country longevity risk management
+Normal rank
@@ Property / cites work @@
+Longevity risk in pension annuities with exchange options: the effect of product design
+Normal rank
@@ Property / cites work @@
+A Synthesis Mortality Model for the Elderly
@@ Property / cites work: A Synthesis Mortality Model for the Elderly / rank @@
+Normal rank
@@ Property / cites work @@
+Parametric mortality indexes: from index construction to hedging strategies
+Normal rank
@@ Property / cites work @@
+Prospective mortality tables: taking heterogeneity into account
+Normal rank
@@ Property / cites work @@
+Application of Relational Models in Mortality Immunization
+Normal rank
@@ Property / cites work @@
+A Bühlmann Credibility Approach to Modeling Mortality Rates
+Normal rank
@@ Property / cites work @@
+Incorporating the Bühlmann credibility into mortality models to improve forecasting performances
+Normal rank
@@ Property / cites work @@
+On the optimal product mix in life insurance companies using conditional value at risk
+Normal rank
@@ Property / cites work @@
+Hedging Longevity Risk When Interest Rates are Uncertain
+Normal rank
@@ Property / cites work @@
+The impact of multiple structural changes on mortality predictions
+Normal rank
@@ Property / cites work @@
+A BAYESIAN JOINT MODEL FOR POPULATION AND PORTFOLIO-SPECIFIC MORTALITY
+Normal rank
@@ Property / cites work @@
+PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN SHRINKAGE
+Normal rank
@@ Property / cites work @@
+On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England
+Normal rank
@@ Property / cites work @@
+A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES
+Normal rank
@@ Property / cites work @@
+Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach
+Normal rank
@@ Property / cites work @@
+Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach
+Normal rank
@@ Property / cites work @@
+Mortality models and longevity risk for small populations
+Normal rank
@@ Property / cites work @@
+Volterra mortality model: actuarial valuation and risk management with long-range dependence
+Normal rank
@@ Property / cites work @@
+Securitization of Longevity Risk in Reverse Mortgages
+Normal rank
@@ Property / cites work @@
+Securitization, structuring and pricing of longevity risk
+Normal rank
@@ Property / cites work @@
+Bayesian mortality forecasting with overdispersion
+Normal rank
@@ Property / cites work @@
+Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
+Normal rank
@@ Property / cites work @@
+Pricing and securitization of multi-country longevity risk with mortality dependence
+Normal rank
@@ Property / cites work @@
+Understanding Patterns of Mortality Homogeneity and Heterogeneity Across Countries and Their Role in Modeling Mortality Dynamics and Hedging Longevity Risk
+Normal rank
@@ Property / cites work @@
+Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models
+Normal rank
@@ Property / cites work @@
+Valuation of the interest rate guarantee embedded in defined contribution pension plans
+Normal rank
@@ Property / cites work @@
+Using Taiwan national health insurance database to model cancer incidence and mortality rates
+Normal rank
@@ Property / cites work @@
+Using Graduation to Modify the Estimation of Lee–Carter Model for Small Populations
+Normal rank
@@ Property / cites work @@
+Mean reversion in stochastic mortality: why and how?
+Normal rank
@@ Property / cites work @@
+Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
+Normal rank
@@ Property / cites work @@
+Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?
+Normal rank
@@ Property / cites work @@
+MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS
+Normal rank
@@ Property / cites work @@
+Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II
+Normal rank
@@ Property / cites work @@
+A Cautionary Note on Natural Hedging of Longevity Risk
+Normal rank