Editorial: Longevity risk and capital markets: the 2013--14 update (Q492624)

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English	Editorial: Longevity risk and capital markets: the 2013--14 update	scientific article

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scholarly article

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Editorial: Longevity risk and capital markets: the 2013--14 update (English)

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zbMATH Open document ID

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10.1016/j.insmatheco.2015.03.015

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Insurance Mathematics \& Economics

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publication date

20 August 2015

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Mathematics Subject Classification ID

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zbMATH DE Number

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2015.03.015

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Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions

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Rethinking age-period-cohort mortality trend models

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Systematic and Nonsystematic Mortality Risk in Pension Portfolios

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Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios

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Pricing<i>q</i>-forward contracts: an evaluation of estimation window and pricing method under different mortality models

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Modeling the Forward Surface of Mortality

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On the pricing of longevity-linked securities

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Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities

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The impact of multiple structural changes on mortality predictions

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Affine processes for dynamic mortality and actuarial valuations

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Securitizing and tranching longevity exposures

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Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers

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Stochastic mortality under measure changes

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Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy

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Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds

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Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts

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A Poisson log-bilinear regression approach to the construction of projected lifetables.

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Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk

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Modelling and management of mortality risk: a review

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A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States

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Longevity hedge effectiveness: a decomposition

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The CBD Mortality Indexes: Modeling and Applications

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Longevity bond premiums: the extreme value approach and risk cubic pricing

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On the robustness of longevity risk pricing

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Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform

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Natural Hedging of Life and Annuity Mortality Risks

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Mortality risk modeling: applications to insurance securitization

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On fitting generalized linear and non-linear models of mortality

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Smoothing and forecasting mortality rates

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Bayesian Poisson log-bilinear mortality projections

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Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts

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Valuation and hedging of life insurance liabilities with systematic mortality risk

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Modelling dependent data for longevity projections

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Detecting Common Longevity Trends by a Multiple Population Approach

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The stratified sampling bootstrap for measuring the uncertainty in mortality forecasts

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Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting

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An index for longevity risk transfer

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A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks

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Evaluating the goodness of fit of stochastic mortality models

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A Gravity Model of Mortality Rates for Two Related Populations

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Evaluating the advanced life deferred annuity -- an annuity people might actually buy

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Quadratic stochastic intensity and prospective mortality tables

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On age-period-cohort parametric mortality rate projections

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Parametric mortality improvement rate modelling and projecting

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Modelling and projecting mortality improvement rates using a cohort perspective

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Multidimensional Lee-Carter model with switching mortality processes

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Estimating the term structure of mortality

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A parameterized approach to modeling and forecasting mortality

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A dynamic parameterization modeling for the age-period-cohort mortality

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Life-cycle asset allocation with annuity markets

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Optimal retirement consumption with a stochastic force of mortality

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A General Procedure for Constructing Mortality Models

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Modelling Adult Mortality in Small Populations: The Saint Model

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A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions

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A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages

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Optimal Annuity Risk Management*

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Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval

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Forecasting with the age-period-cohort model and the extended chain-ladder model

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Pricing longevity risk with the parametric bootstrap: a maximum entropy approach

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Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality

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Measuring Basis Risk in Longevity Hedges

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Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach

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Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk

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An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation

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Gender Convergence in Human Survival and the Postponement of Death

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The role of longevity bonds in optimal portfolios

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Mortality derivatives and the option to annuitise.

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Annuitization and asset allocation

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Mortality Regimes and Pricing

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Modeling and forecasting mortality rates

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Identification and forecasting in mortality models

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Assessing the cost of capital for longevity risk

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A Bayesian forecasting model: predicting U.S. male mortality

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On stochastic mortality modeling

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Stochastic portfolio specific mortality and the quantification of mortality basis risk

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Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections

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Lee-Carter mortality forecasting with age-specific enhancement.

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A cohort-based extension to the Lee-Carter model for mortality reduction factors

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On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling

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Calibrating affine stochastic mortality models using term assurance premiums

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A recursive approach to mortality-linked derivative pricing

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Longevity bond pricing under stochastic interest rate and mortality with regime-switching

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Longevity risk in pension annuities with exchange options: the effect of product design

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On the optimal product mix in life insurance companies using conditional value at risk

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Hedging Longevity Risk When Interest Rates are Uncertain

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On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England

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Securitization of Longevity Risk in Reverse Mortgages

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Securitization, structuring and pricing of longevity risk

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Pricing and securitization of multi-country longevity risk with mortality dependence

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Valuation of the interest rate guarantee embedded in defined contribution pension plans

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Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models

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Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II

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A Cautionary Note on Natural Hedging of Longevity Risk

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