A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks

DOI10.1080/10920277.2011.10597619zbMATH Open1228.91031OpenAlexW2139452325MaRDI QIDQ3107264FDOQ3107264

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

Publication date: 21 December 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2011.10597619

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Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• A theory of the term structure of interest rates
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Interest rate models: an introduction
• Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging

Cited In (15)

• Longevity hedge effectiveness: a decomposition
• Pricing pension buy-outs under stochastic interest and mortality rates
• The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices
• Longevity Risk and Capital Markets: The 2017–2018 Update
• A new approximation of annuity prices for age-period-cohort models
• Hedging annuity risks with the age-period-cohort two-population gravity model
• Longevity risk and capital markets: the 2019--20 update
• Longevity Risk and Capital Markets: The 2012–2013 Update
• Green nested simulation via likelihood ratio: applications to longevity risk management
• A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models
• Editorial: Longevity risk and capital markets: the 2013--14 update
• Annuity uncertainty with stochastic mortality and interest rates
• Longevity risk and capital markets: the 2015--16 update
• Annuity contract valuation under dependent risks
• Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts

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