Securitization, structuring and pricing of longevity risk

DOI10.1016/j.insmatheco.2009.09.014zbMath1231.91251OpenAlexW3123606188MaRDI QIDQ659203

Michael Sherris, Samuel Wills

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.09.014

zbMATH Keywords

securitizationlongevity risk

Mathematics Subject Classification ID

Related Items (24)

Stochastic Mortality Models and Pandemic Shocks ⋮ LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS ⋮ Mortality options: the point of view of an insurer ⋮ On the effects of changing mortality patterns on investment, labour and consumption under uncertainty ⋮ Hedging Mortality/Longevity Risks for Multiple Years ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Optimal retirement consumption with a stochastic force of mortality ⋮ A comonotonicity-based valuation method for guaranteed annuity options ⋮ The Annuity Puzzle and an Outline of Its Solution ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk ⋮ The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds ⋮ Jump diffusion transition intensities in life insurance and disability annuity ⋮ Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Price bounds of mortality-linked security in incomplete insurance market ⋮ Longevity risk, cost of capital and hedging for life insurers under Solvency II ⋮ A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Mortality Regimes and Pricing ⋮ Age-specific copula-AR-GARCH mortality models ⋮ Longevity hedge effectiveness: a decomposition

Uses Software

• LifeMetrics

Cites Work

• Modeling and Forecasting U.S. Mortality
• Affine processes for dynamic mortality and actuarial valuations
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• A Universal Framework for Pricing Financial and Insurance Risks
• Unnamed Item

This page was built for publication: Securitization, structuring and pricing of longevity risk