Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices

DOI10.1080/10920277.2019.1651656MaRDI QIDQ4987097zbMATH OpenOpenAlexWikidataFDO

Authors Qiheng Guo, Daniel Bauer

Publication date 28 April 2021

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

Full work available at URL https://doi.org/10.1080/10920277.2019.1651656

zbMATH Keywords

generalised method of momentslife insurancestochastic mortality

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts

Cites work

• Affine processes for dynamic mortality and actuarial valuations
• Cause-of-death mortality: what can be learned from population dynamics?
• Enhanced annuities and the impact of individual underwriting on an insurer's profit situation
• Hypothesis Testing with Efficient Method of Moments Estimation
• International cause-specific mortality rates: new insights from a cointegration analysis
• Large Sample Properties of Generalized Method of Moments Estimators
• Natural hedging of life and annuity mortality risks
• On Cox processes and credit risky securities
• On the effectiveness of natural hedging for insurance companies and pension plans
• On the pricing of longevity-linked securities
• The Estimation of Economic Relationships using Instrumental Variables
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Valuation and hedging of life insurance liabilities with systematic mortality risk

Cited in

(11)

• Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds
• Examining the impact on mortality arising from climate change: important findings for the insurance industry
• Pricing catastrophe risk in life (re)insurance
• Systematic mortality improvement trends and mortality heterogeneity: insights from individual-level HRS data
• Dating death: an empirical comparison of medical underwriters in the U.S. life settlements market
• Understanding patterns of mortality homogeneity and heterogeneity across countries and their role in modeling mortality dynamics and hedging longevity risk
• Longevity risk and capital markets: the 2019--20 update
• Socio-economic differentiation in experienced mortality modelling and its pricing implications
• The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
• Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing
• It takes two: why mortality trend modeling is more than modeling one mortality trend

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