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

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Language	Label	Description	Also known as
English	Longevity risk and capital markets: the 2019--20 update	scientific article

Statements

scholarly article

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Longevity risk and capital markets: the 2019--20 update (English)

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Insurance Mathematics \& Economics

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publication date

6 July 2021

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zbMATH Keywords

longevity risk

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capital markets

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insurance/reinsurance

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pension risk transfer

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buy-outs

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buy-ins

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stochastic mortality models

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2021.04.001

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A new defined benefit pension risk measurement methodology

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Mind the Gap: A Study of Cause-Specific Mortality by Socioeconomic Circumstances

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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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Bayesian Poisson log-bilinear models for mortality projections with multiple populations

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Improving the Forecast of Longevity by Combining Models

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Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence

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Causes-of-Death Mortality: What Do We Know on Their Dependence?

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INTERNATIONAL CAUSE-SPECIFIC MORTALITY RATES: NEW INSIGHTS FROM A COINTEGRATION ANALYSIS

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Systematic and Nonsystematic Mortality Risk in Pension Portfolios

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Model-independent price bounds for catastrophic mortality bonds

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Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios

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Understanding, modelling and managing longevity risk: key issues and main challenges

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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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An age-at-death distribution approach to forecast cohort mortality

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On the pricing of longevity-linked securities

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Evaluating Life Expectancy Evaluations

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Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities

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Modern tontine with bequest: innovation in pooled annuity products

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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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LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS

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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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Modeling trend processes in parametric mortality models

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Improving HMD Mortality Estimates with HFD Fertility Data

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Cause-of-death mortality: what can be learned from population dynamics?

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A NEW INFERENCE STRATEGY FOR GENERAL POPULATION MORTALITY TABLES

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Valuation of longevity-linked life annuities

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Pricing longevity derivatives via Fourier transforms

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Bootstrapping the Poisson log-bilinear model for mortality forecasting

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A Poisson log-bilinear regression approach to the construction of projected lifetables.

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Unisex pricing of German participating life annuities -- boon or bane for customer and insurance company?

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Identifiability issues of age-period and age-period-cohort models of the Lee-Carter type

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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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Basis Risk in Index-Based Longevity Hedges: A Guide for Longevity Hedgers

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The CBD Mortality Indexes: Modeling and Applications

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Options on tontines: an innovative way of combining tontines and annuities

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ON THE OPTIMAL COMBINATION OF ANNUITIES AND TONTINES

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On the robustness of longevity risk pricing

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Longevity bond premiums: the extreme value approach and risk cubic pricing

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Multi-population mortality models: a factor copula approach

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Sex-specific mortality forecasting for UK countries: a coherent approach

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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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Optimal Longevity Risk Transfer and Investment Strategies

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Mortality risk modeling: applications to insurance securitization

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Pension risk management with funding and buyout options

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Spatial patterns of mortality in the United States: a spatial filtering approach

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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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De-risking strategy: longevity spread buy-in

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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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Forecasting mortality in subpopulations using Lee-Carter type models: a comparison

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Characterization of between-group inequality of longevity in European union countries

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Do actuaries believe in longevity deceleration?

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Extending Lee–Carter Mortality Forecasting

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Coherent modeling of male and female mortality using Lee-Carter in a complex number framework

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A more meaningful parameterization of the Lee-Carter model

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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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Machine learning techniques for mortality modeling

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Quantifying mortality risk in small defined-benefit pension schemes

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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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The valuation of no-negative equity guarantees and equity release mortgages

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Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model

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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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Multi-population mortality models: fitting, forecasting and comparisons

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Mortality modelling with regime-switching for the valuation of a guaranteed annuity option

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Extreme Value Analysis of Mortality at the Oldest Ages: A Case Study Based on Individual Ages at Death

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Evaluating the advanced life deferred annuity -- an annuity people might actually buy

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Love and death: a Freund model with frailty

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Quadratic stochastic intensity and prospective mortality tables

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Forecasting mortality rate improvements with a high-dimensional VAR

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Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices

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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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A NEURAL-NETWORK ANALYZER FOR MORTALITY FORECAST

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A dynamic equivalence principle for systematic longevity risk management

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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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Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection

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Life-cycle asset allocation with annuity markets

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Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools

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Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach

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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 longevity bonds: analysing the Swiss Re Kortis bond

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MODELLING MORTALITY FOR PENSION SCHEMES

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Identifiability, cointegration and the gravity model

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On the Structure and Classification of Mortality Models

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A Bayesian Approach to Modeling and Projecting Cohort Effects

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Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing

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Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies

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FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY

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Modelling Adult Mortality in Small Populations: The Saint Model

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Pitfalls and merits of cointegration-based mortality models

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A continuous-time stochastic model for the mortality surface of multiple populations

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A common age effect model for the mortality of multiple populations

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Parameter risk in time-series mortality forecasts

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Mortality Forecasts for Long-Term Care Subpopulations with Longevity Risk: A Bayesian Approach

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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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Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets

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Modeling and Forecasting U.S. Mortality

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Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison

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Inference pitfalls in Lee-Carter model for forecasting mortality

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A comparative study of pricing approaches for longevity instruments

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DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY

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The choice of sample size for mortality forecasting: a Bayesian learning approach

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A forecast reconciliation approach to cause-of-death mortality modeling

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COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH

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Semi-parametric extensions of the Cairns-Blake-Dowd model: a one-dimensional kernel smoothing approach

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A Flexible Functional Form Approach To Mortality Modeling: Do We Need Additional Cohort Dummies?

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A semiparametric panel approach to mortality modeling

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ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION

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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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Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes

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Key Q-Duration: A Framework for Hedging Longevity Risk

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A step-by-step guide to building two-population stochastic mortality models

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The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multistate Latent Factor Model for Transition Rates

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Applications of Mortality Durations and Convexities in Natural Hedges

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NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES

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Hedging Mortality/Longevity Risks for Multiple Years

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An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation

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De-risking defined benefit plans

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Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk

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It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk

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THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK

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A strategy for hedging risks associated with period and cohort effects using q-forwards

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An Efficient Method for Mitigating Longevity Value-at-Risk

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BIAS-CORRECTED INFERENCE FOR A MODIFIED LEE–CARTER MORTALITY MODEL

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GAUSSIAN PROCESS MODELS FOR MORTALITY RATES AND IMPROVEMENT FACTORS

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A Multi-population Approach to Forecasting All-Cause Mortality Using Cause-of-Death Mortality Data

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The choice of trigger in an insurance linked security: the mortality risk case

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Hedging Longevity Risk: Does the Structure of the Financial Instrument Matter?

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Stochastic Mortality Modeling: Key Drivers and Dependent Residuals

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Flexible and Affordable Methods of Paying for Long-Term Care Insurance

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Gender Convergence in Human Survival and the Postponement of Death

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An Investigation into Inequalities in Adult Lifespan

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An Analysis of Period and Cohort Mortality Shocks in International Data

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The role of longevity bonds in optimal portfolios

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Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age?

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Mortality derivatives and the option to annuitise.

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Optimal retirement income tontines

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Annuitization and asset allocation

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Mortality Regimes and Pricing

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Modeling and forecasting mortality rates

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Five different distributions for the Lee-Carter model of mortality forecasting: a comparison using GAS models

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Identification and forecasting in mortality models

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Modeling mortality with a Bayesian vector autoregression

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Assessing the cost of capital for longevity risk

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The double-gap life expectancy forecasting model

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A Bayesian forecasting model: predicting U.S. male mortality

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SMOOTHING POISSON COMMON FACTOR MODEL FOR PROJECTING MORTALITY JOINTLY FOR BOTH SEXES

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On stochastic mortality modeling

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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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Optimal Portfolio Choice in Retirement With Participating Life Annuities

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Calibrating affine stochastic mortality models using term assurance premiums

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Extending the Lee–Carter model: a three-way decomposition

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AGE-SPECIFIC ADJUSTMENT OF GRADUATED MORTALITY

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Rising Inequality in Life Expectancy by Socioeconomic Status

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A multivariate evolutionary credibility model for mortality improvement rates

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Mortality options: the point of view of an insurer

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DYNAMIC PRINCIPAL COMPONENT REGRESSION: APPLICATION TO AGE-SPECIFIC MORTALITY FORECASTING

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A recursive approach to mortality-linked derivative pricing

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Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk

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Longevity bond pricing under stochastic interest rate and mortality with regime-switching

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Cohort and value-based multi-country longevity risk management

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Longevity risk in pension annuities with exchange options: the effect of product design

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A Synthesis Mortality Model for the Elderly

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Parametric mortality indexes: from index construction to hedging strategies

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Prospective mortality tables: taking heterogeneity into account

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Application of Relational Models in Mortality Immunization

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A Bühlmann Credibility Approach to Modeling Mortality Rates

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Incorporating the Bühlmann credibility into mortality models to improve forecasting performances

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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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The impact of multiple structural changes on mortality predictions

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A BAYESIAN JOINT MODEL FOR POPULATION AND PORTFOLIO-SPECIFIC MORTALITY

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PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN SHRINKAGE

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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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A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES

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Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach

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Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach

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Mortality models and longevity risk for small populations

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Volterra mortality model: actuarial valuation and risk management with long-range dependence

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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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Bayesian mortality forecasting with overdispersion

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Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk

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Pricing and securitization of multi-country longevity risk with mortality dependence

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Understanding Patterns of Mortality Homogeneity and Heterogeneity Across Countries and Their Role in Modeling Mortality Dynamics and Hedging Longevity Risk

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Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models

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Valuation of the interest rate guarantee embedded in defined contribution pension plans

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Using Taiwan national health insurance database to model cancer incidence and mortality rates

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Using Graduation to Modify the Estimation of Lee–Carter Model for Small Populations

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Mean reversion in stochastic mortality: why and how?

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Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk

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Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?

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MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS

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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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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.INSMATHECO.2021.04.001

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Sitelinks

Mathematics(1 entry)

mardi Publication:2038265

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