If we can simulate it, we can insure it: an application to longevity risk management
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Publication:2252277
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- A comparative study of pricing approaches for longevity instruments
- Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach
- Green nested simulation via likelihood ratio: applications to longevity risk management
- Sustainability of participation in collective pension schemes: an option pricing approach
- A dynamic equivalence principle for systematic longevity risk management
- Pricing longevity derivatives via Fourier transforms
- Constructing out-of-the-money longevity hedges using parametric mortality indexes
- Hedging Mortality/Longevity Risks for Multiple Years
- Pricing longevity-linked securities in the presence of mortality trend changes
- Longevity hedge effectiveness using socioeconomic indices
- A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
- An iterative least-squares Monte Carlo approach for the simulation of cohort based biometric indices
- Monte Carlo valuation of future annuity contracts
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