Mortality Regimes and Pricing

DOI10.1080/10920277.2011.10597621zbMath1228.91043OpenAlexW3122670998MaRDI QIDQ3107268

Yijia Lin, Andreas Milidonis, S. H. jun. Cox

Publication date: 21 December 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2011.10597621

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

• A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
• Securitization, structuring and pricing of longevity risk
• Mortality risk modeling: applications to insurance securitization
• Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• Pricing exotic options under regime switching
• Securitization of catastrophe mortality risks
• A Markov model for switching regressions
• Autoregressive conditional heteroskedasticity and changes in regime
• Mortality derivatives and the option to annuitise.
• 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
• Tax-Deductible Pre-Event Catastrophe Loss Reserves: The Case of Florida
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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