Modelling mortality for pension schemes
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- scientific article; zbMATH DE number 5522381
Cites work
- A discussion of parameter and model uncertainty in insurance
- A general procedure for constructing mortality models
- A gravity model of mortality rates for two related populations
- A step-by-step guide to building two-population stochastic mortality models
- Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
- Longevity hedge effectiveness: a decomposition
- Measuring Basis Risk in Longevity Hedges
- Modeling period effects in multi-population mortality models: applications to Solvency II
- Modelling adult mortuality in small populations the saint model
- Modelling longevity bonds: analysing the Swiss Re Kortis bond
- On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England
- Stochastic portfolio specific mortality and the quantification of mortality basis risk
- Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
Cited in
(23)- Mortality models and longevity risk for small populations
- Longevity risk and capital markets: the 2019--20 update
- Pooling mortality risk in eurozone state pension liabilities: an application of a Bayesian coherent multi-population cohort-based mortality model
- A general framework for analysing the mortality experience of a large portfolio of lives: with an application to the UK universities superannuation scheme
- A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates
- scientific article; zbMATH DE number 992979 (Why is no real title available?)
- scientific article; zbMATH DE number 5522381 (Why is no real title available?)
- scientific article; zbMATH DE number 2028658 (Why is no real title available?)
- Quantifying mortality risk in small defined-benefit pension schemes
- Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach
- Trends in Canadian mortality by pension level: evidence from the CPP and QPP
- Forward mortality rates in discrete time. I: Calibration and securities pricing
- Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
- Pension plan valuation and mortality projection: a case study with mortality data
- Modelling seasonal mortality with individual data
- A Hermite-spline model of post-retirement mortality
- Survival analysis of pension scheme mortality when data are missing
- Multivariate Analysis of Pension Plan Mortality Data
- Systematic and nonsystematic mortality risk in pension portfolios
- THE SAINT MODEL: A DECADE LATER
- Calibrating the Lee-Carter and the Poisson Lee-Carter models via neural networks
- Socioeconomic differentials in mortality: implications on index-based longevity hedges
- A generic model for spouse's pensions with a view towards the calculation of liabilities
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