Modeling and pricing longevity derivatives using Skellam distribution

DOI10.1016/J.INSMATHECO.2021.04.002MaRDI QIDQ2038258zbMATH OpenOpenAlexFDO

Authors Ko-Lun Kung, I-Chien Liu, Chou-Wen Wang

Publication date 6 July 2021

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2021.04.002

zbMATH Keywords

heavy tailmortality forecastingmortality modelingSkellam distributionlongevity swaps

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Bayesian Poisson log-bilinear mortality projections
• Bayesian modelling of football outcomes: using the Skellam's distribution for the goal difference
• Bootstrapping the Poisson log-bilinear model for mortality forecasting
• Explaining Young mortality
• Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform
• Measuring Basis Risk in Longevity Hedges
• Modeling and forecasting U.S. mortality. (With discussion)
• Modeling and forecasting mortality rates
• Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform
• Modelling and projecting mortality improvement rates using a cohort perspective
• Mortality risk modeling: applications to insurance securitization
• On the Poisson difference distribution inference and applications
• On the pricing of longevity-linked securities
• Parametric mortality improvement rate modelling and projecting
• Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio
• The Frequency Distribution of the Difference Between Two Poisson Variates Belonging to Different Populations

Cited in

(6)

• Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
• Dispersion modelling of mortality for both sexes with Tweedie distributions
• Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
• The zero-and-plus/minus-one inflated extended-Poisson distribution
• Statistical emulators for pricing and hedging longevity risk products
• Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform

Describes a project that uses

Uses Software

• StMoMo

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