LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS
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Publication:4563788
DOI10.1017/asb.2016.32zbMath1390.91161OpenAlexW2554589063MaRDI QIDQ4563788
Annamaria Olivieri, Katja Hanewald, Craig Blackburn, Michael Sherris
Publication date: 4 June 2018
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2016.32
securitizationreinsurancecost of capitalsolvencyeconomic valuecapital managementlimited liability put optionmarket-consistent embedded value
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Related Items (3)
Longevity risk and capital markets: the 2019--20 update ⋮ A comparative study of pricing approaches for longevity instruments ⋮ Measuring profitability of life insurance products under Solvency II
Cites Work
- On Cox processes and credit risky securities
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- Editorial: Longevity risk and capital markets: the 2013--14 update
- Longevity risk and capital markets: the 2008-2009 update
- On the pricing of longevity-linked securities
- Securitization, structuring and pricing of longevity risk
- Securitizing and tranching longevity exposures
- Assessing the cost of capital for longevity risk
- Mortality derivatives and the option to annuitise.
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Consistent dynamic affine mortality models for longevity risk applications
- Enhancing insurer value through reinsurance optimization
- Stochastic mortality under measure changes
- Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- PRICING AND SOLVENCY OF VALUE-MAXIMIZING LIFE ANNUITY PROVIDERS
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