Pricing and securitization of multi-country longevity risk with mortality dependence

DOI10.1016/j.insmatheco.2012.10.004zbMath1284.91556OpenAlexW1967830956MaRDI QIDQ2442512

Sharon S. Yang, Chou-Wen Wang

Publication date: 3 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.10.004

zbMATH Keywords

Lee-Carter modelmultivariate Wang transformVECM modellongevity bondco-integration analysismortality correlation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Mathematical geography and demography (91D20)

Related Items (35)

Exchangeable mortality projection ⋮ Stochastic Mortality Models and Pandemic Shocks ⋮ Coherent modeling of male and female mortality using Lee-Carter in a complex number framework ⋮ A multivariate evolutionary credibility model for mortality improvement rates ⋮ COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH ⋮ A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES ⋮ TESTING FOR A UNIT ROOT IN LEE–CARTER MORTALITY MODEL ⋮ Modeling pandemic mortality risk and its application to mortality-linked security pricing ⋮ Multi-population mortality modeling: when the data is too much and not enough ⋮ What drives population ageing? A cointegration analysis ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Identifiability, cointegration and the gravity model ⋮ A more meaningful parameterization of the Lee-Carter model ⋮ MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Modelling longevity bonds: analysing the Swiss Re Kortis bond ⋮ Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach ⋮ A step-by-step guide to building two-population stochastic mortality models ⋮ Multi-population mortality models: a factor copula approach ⋮ GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS ⋮ MORTALITY FORECASTING WITH A SPATIALLY PENALIZED SMOOTHED VAR MODEL ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England ⋮ Time-consistent mean-variance hedging of longevity risk: effect of cointegration ⋮ Modelling mortality dependence: an application of dynamic vine copula ⋮ Cause-specific mortality rates: common trends and differences ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Coherent mortality forecasting with generalized linear models: a modified time-transformation approach ⋮ Parametric mortality indexes: from index construction to hedging strategies ⋮ Pitfalls and merits of cointegration-based mortality models ⋮ Inference pitfalls in Lee-Carter model for forecasting mortality ⋮ It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Age-specific copula-AR-GARCH mortality models ⋮ On the effectiveness of natural hedging for insurance companies and pension plans

Uses Software

• LifeMetrics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On stochastic mortality modeling
• 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
• Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
• Securitization of catastrophe mortality risks
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Lee-Carter mortality forecasting with age-specific enhancement.
• Multidimensional Lee-Carter model with switching mortality processes
• On the valuation of reverse mortgages with regular tenure payments
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Stochastic mortality under measure changes
• Measuring Basis Risk in Longevity Hedges
• A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• A Universal Framework for Pricing Financial and Insurance Risks
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The Lee-Carter Model for Forecasting Mortality, Revisited
• Normalized Exponential Tilting
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States

This page was built for publication: Pricing and securitization of multi-country longevity risk with mortality dependence