A comparative study of pricing approaches for longevity instruments
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Cites work
- scientific article; zbMATH DE number 3463452 (Why is no real title available?)
- scientific article; zbMATH DE number 3085434 (Why is no real title available?)
- A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
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- A cautionary note on pricing longevity index swaps
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- Computation of economic equilibria by a sequence of linear complementarity problems
- Consistent dynamic affine mortality models for longevity risk applications
- Dynamic Linear Models with R
- Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
- Evaluating the goodness of fit of stochastic mortality models
- Exotic Options for Interruptible Electricity Supply Contracts
- Guarantee valuation in notional defined contribution pension systems
- If we can simulate it, we can insure it: an application to longevity risk management
- Indifference pricing of insurance contracts in a product space model: Applications
- Inference in hidden Markov models.
- It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk
- Longevity risk management and shareholder value for a life annuity business
- Measuring Basis Risk in Longevity Hedges
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- Mortality risk modeling: applications to insurance securitization
- On Gibbs sampling for state space models
- On Information and Sufficiency
- On the Applicability of the Wang Transform for Pricing Financial Risks
- On the pricing of longevity-linked securities
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- Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
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- Super-replication in stochastic volatility models under portfolio constraints
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Cited in
(18)- Pricing and securitization of multi-country longevity risk with mortality dependence
- Pricing \(q\)-forward contracts: an evaluation of estimation window and pricing method under different mortality models
- A cautionary note on pricing longevity index swaps
- A Bayesian approach to pricing longevity derivatives with Chinese limited data
- Pricing longevity-linked securities in the presence of mortality trend changes
- Assessment of longevity risk: credibility approach
- Longevity Risk and Capital Markets: The 2017–2018 Update
- Understanding, modelling and managing longevity risk: key issues and main challenges
- The impact of the determinants of mortality on life insurance and annuities
- Bayesian value-at-risk backtesting: the case of annuity pricing
- A combined analysis of hedge effectiveness and capital efficiency in longevity hedging
- Longevity risk and capital markets: the 2019--20 update
- Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time
- Socio-economic differentiation in experienced mortality modelling and its pricing implications
- The pricing of mortality-linked contingent claims: an equilibrium approach
- Impact of outlier-adjusted Lee-Carter model on the valuation of life annuities
- Pricing extreme mortality risk in the wake of the COVID-19 pandemic
- Market pricing of longevity-linked securities
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