An index for longevity risk transfer

DOI10.1016/J.CAM.2008.12.012MaRDI QIDQ2389987zbMATH OpenOpenAlexFDO

Authors Michel Denuit

Publication date 20 July 2009

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2008.12.012

zbMATH Keywords

longevity riskmortality projectionpredictive distributionsecuritization

Mathematics Subject Classification ID

Mathematical geography and demography (91D20)

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Cites work

• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Application of the Poisson log-bilinear projection model to the G5 mortality experience
• scientific article; zbMATH DE number 5522381 (Why is no real title available?)
• Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
• Negative binomial version of the Lee–Carter model for mortality forecasting
• Pension plan valuation and mortality projection: a case study with mortality data

Cited in

(14)

• Longevity risk and capital markets: the 2015--16 update
• Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds
• Longevity risk and capital markets: the 2019--20 update
• A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates
• Parametric mortality indexes: from index construction to hedging strategies
• Longevity-indexed life annuities
• About a duration index for life insurance contracts
• Editorial: Longevity risk and capital markets: the 2013--14 update
• Longevity Risk and Capital Markets: The 2017–2018 Update
• Forward mortality rates in discrete time. I: Calibration and securities pricing
• Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
• Longevity Risk and Capital Markets: The 2012–2013 Update
• Longevity Risk Modeling with the Consumer Price Index
• Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age?

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