Longevity risk and capital markets: the 2015--16 update
From MaRDI portal
(Redirected from Publication:1697233)
Recommendations
Cites work
- scientific article; zbMATH DE number 5713282 (Why is no real title available?)
- A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
- A Bayesian forecasting model: predicting U.S. male mortality
- A Bayesian multivariate risk-neutral method for pricing reverse mortgages
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- A cautionary note on natural hedging of longevity risk
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- A common age effect model for the mortality of multiple populations
- A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
- A dynamic parameterization modeling for the age-period-cohort mortality
- A general procedure for constructing mortality models
- A gravity model of mortality rates for two related populations
- A new defined benefit pension risk measurement methodology
- A parameterized approach to modeling and forecasting mortality
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- A recursive approach to mortality-linked derivative pricing
- A step-by-step guide to building two-population stochastic mortality models
- Affine processes for dynamic mortality and actuarial valuations
- An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation
- An index for longevity risk transfer
- Annuitization and asset allocation
- Assessing the cost of capital for longevity risk
- Bayesian Poisson log-bilinear mortality projections
- Bootstrapping the Poisson log-bilinear model for mortality forecasting
- Calibrating affine stochastic mortality models using term assurance premiums
- De-risking defined benefit plans
- Detecting common longevity trends by a multiple population approach
- Developing equity release markets: risk analysis for reverse mortgages and home reversions
- Downside risk management of a defined benefit plan considering longevity basis risk
- Estimating the term structure of mortality
- Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
- Evaluating the advanced life deferred annuity -- an annuity people might actually buy
- Evaluating the goodness of fit of stochastic mortality models
- Extending the Lee-Carter model: a three-way decomposition
- Forecasting mortality in subpopulations using Lee-Carter type models: a comparison
- Forecasting with the age-period-cohort model and the extended chain-ladder model
- Gender Convergence in Human Survival and the Postponement of Death
- Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
- Hedging Longevity Risk When Interest Rates are Uncertain
- Identification and forecasting in mortality models
- Identification of the age-period-cohort model and the extended chain-ladder model
- It takes two: why mortality trend modeling is more than modeling one mortality trend
- Keeping some skin in the game: how to start a capital market in longevity risk transfers
- Key q-duration: a framework for hedging longevity risk
- Lee-Carter mortality forecasting with age-specific enhancement.
- Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
- Life-cycle asset allocation with annuity markets
- Longevity bond premiums: the extreme value approach and risk cubic pricing
- Longevity bond pricing under stochastic interest rate and mortality with regime-switching
- Longevity hedge effectiveness: a decomposition
- Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
- Longevity risk in pension annuities with exchange options: the effect of product design
- Love and death: a Freund model with frailty
- Measuring Basis Risk in Longevity Hedges
- Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
- Modeling and forecasting U.S. mortality. (With discussion)
- Modeling and forecasting mortality rates
- Modeling and management of mortality risk: a review
- Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform
- Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models
- Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach
- Modeling period effects in multi-population mortality models: applications to Solvency II
- Modelling adult mortuality in small populations the saint model
- Modelling and projecting mortality improvement rates using a cohort perspective
- Modelling dependent data for longevity projections
- Modelling longevity bonds: analysing the Swiss Re Kortis bond
- Mortality derivatives and the option to annuitise.
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
- Mortality regimes and pricing
- Mortality risk modeling: applications to insurance securitization
- Multi-population mortality models: a factor copula approach
- Multidimensional Lee-Carter model with switching mortality processes
- Natural hedging of life and annuity mortality risks
- On Fitting generalized linear and non-linear models of mortality
- On age-period-cohort parametric mortality rate projections
- On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
- On stochastic mortality modeling
- On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England
- On the optimal product mix in life insurance companies using conditional value at risk
- On the pricing of longevity-linked securities
- On the robustness of longevity risk pricing
- Optimal Annuity Risk Management*
- Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
- Optimal retirement consumption with a stochastic force of mortality
- Optimal retirement income tontines
- Parametric mortality improvement rate modelling and projecting
- Parametric mortality indexes: from index construction to hedging strategies
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Pricing \(q\)-forward contracts: an evaluation of estimation window and pricing method under different mortality models
- Pricing and securitization of multi-country longevity risk with mortality dependence
- Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
- Prospective mortality tables: taking heterogeneity into account
- Quadratic stochastic intensity and prospective mortality tables
- Quantifying mortality risk in small defined-benefit pension schemes
- Rethinking age-period-cohort mortality trend models
- Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
- Robustness and convergence in the Lee-Carter model with cohort effects
- Securitization of longevity risk in reverse mortgages
- Securitization, structuring and pricing of longevity risk
- Securitizing and tranching longevity exposures
- Sharing longevity risk: why governments should issue longevity bonds
- Smoothing and forecasting mortality rates
- Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Stochastic mortality under measure changes
- Stochastic portfolio specific mortality and the quantification of mortality basis risk
- Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach
- Systematic and nonsystematic mortality risk in pension portfolios
- The CBD Mortality Indexes: Modeling and Applications
- The choice of sample size for mortality forecasting: a Bayesian learning approach
- The impact of multiple structural changes on mortality predictions
- The role of longevity bonds in optimal portfolios
- The stratified sampling bootstrap for measuring the uncertainty in mortality forecasts
- Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality
- Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach
- Understanding, modelling and managing longevity risk: key issues and main challenges
- Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
- Valuation of the interest rate guarantee embedded in defined contribution pension plans
Cited in
(4)
This page was built for publication: Longevity risk and capital markets: the 2015--16 update
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1697233)
