Actuarial applications of the linear hazard transform in life contingencies

DOI10.1016/J.INSMATHECO.2011.01.009MaRDI QIDQ2276263zbMATH OpenOpenAlexFDO

Authors Cary Chi-Liang Tsai, Lingzhi Jiang

Publication date 1 August 2011

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2011.01.009

zbMATH Keywords

\(\alpha \)-power approximationdollar durationfractional age assumptionslinear hazard transformMacaulay durationmodified durationproportional hazard transform

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A critique of fractional age assumptions.
• A family of fractional age assumptions
• An application of the -power approximation in multiple life insurance
• Analysis of heterogeneous endowment policies portfolios under fractional approximations.
• Comparison Between Future Lifetime Distribution and Its Approximations
• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Ordering of risks under PH-transforms
• Properties of the power family of fractional age approximations.

Cited in

(6)

• Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
• On the mortality/longevity risk hedging with mortality immunization
• Actuarial applications of the linear hazard transform in mortality immunization
• Longevity Greeks: what do insurers and capital market investors need to know?
• A simple linear regression approach to modeling and forecasting mortality rates
• Applications of mortality durations and convexities in natural hedges

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