Mortality-dependent financial risk measures

DOI10.1016/j.insmatheco.2005.11.003zbMath1168.91411OpenAlexW2097529072MaRDI QIDQ2499824

David Blake, Kevin Dowd, Andrew J. G. Cairns

Publication date: 14 August 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.11.003

zbMATH Keywords

coherent risk measuresvalue-at-riskmortality riskspectral risk measureslongevity bonds

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Related Items

A subordinated Markov model for stochastic mortality ⋮ Pricing longevity-linked derivatives using a stochastic mortality model ⋮ Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk ⋮ An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation ⋮ Valuation of equity-indexed annuity under stochastic mortality and interest rate ⋮ Regime-switching pure jump processes and applications in the valuation of mortality-linked products ⋮ Modelling longevity bonds: analysing the Swiss Re Kortis bond ⋮ De-risking defined benefit plans ⋮ A Bayesian Approach to Modeling and Projecting Cohort Effects ⋮ An Efficient Method for Mitigating Longevity Value-at-Risk ⋮ Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing ⋮ A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States

Uses Software

• Dowd

Cites Work

• Mortality derivatives and the option to annuitise.
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk

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