Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
Publication:860503
DOI10.1016/J.INSMATHECO.2006.02.012zbMath1151.91577OpenAlexW1972551937MaRDI QIDQ860503
Yulia Romaniuk, Alexander V. Melnikov
Publication date: 9 January 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.02.012
risk managementstochastic modellingquantile hedgingmortality forecastingmortality modelunit-linked contracts
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items (19)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Modeling and Forecasting U.S. Mortality
- The Pricing of Options and Corporate Liabilities
- Pricing equity-linked life insurance with endogenous minimum guarantees
- Affine processes for dynamic mortality and actuarial valuations
- Reserving for maturity guarantees: Two approaches
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Quantile hedging
- Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
- A Theory of the Term Structure of Interest Rates
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- Pricing of Unit-linked Life Insurance Policies
- An equilibrium characterization of the term structure
- Bootstrapping the Poisson log-bilinear model for mortality forecasting
- Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
- Projecting Mortality Trends
- The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
This page was built for publication: Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts