The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk
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Cites work
- A Bayesian forecasting model: predicting U.S. male mortality
- A cautionary note on pricing longevity index swaps
- A gravity model of mortality rates for two related populations
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- A step-by-step guide to building two-population stochastic mortality models
- AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
- An Exact Test for the Presence of Random Walk Coefficients in a Linear Regression Model
- Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
- Closing and projecting life tables using log-linear models
- Coherent mortality forecasting with generalized linear models: a modified time-transformation approach
- Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
- Computing the distribution of quadratic forms in normal variables
- Delta-gamma hedging of mortality and interest rate risk
- Estimating the term structure of mortality
- Evaluating the goodness of fit of stochastic mortality models
- Extending Lee–Carter Mortality Forecasting
- Handbook of Insurance
- scientific article; zbMATH DE number 48318 (Why is no real title available?)
- scientific article; zbMATH DE number 1034048 (Why is no real title available?)
- Key q-duration: a framework for hedging longevity risk
- Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
- Longevity hedge effectiveness: a decomposition
- Measuring Basis Risk in Longevity Hedges
- Modeling and forecasting U.S. mortality. (With discussion)
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- Mortality regimes and pricing
- Outlier analysis and mortality forecasting: The United Kingdom and Scandinavian countries
- Parametric mortality indexes: from index construction to hedging strategies
- The choice of sample size for mortality forecasting: a Bayesian learning approach
- The impact of multiple structural changes on mortality predictions
Cited in
(12)- Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
- A combined analysis of hedge effectiveness and capital efficiency in longevity hedging
- Recent declines in life expectancy: implication on longevity risk hedging
- Longevity risk and capital markets: the 2019--20 update
- It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk
- An efficient method for mitigating longevity value-at-risk
- Constructing out-of-the-money longevity hedges using parametric mortality indexes
- Pricing longevity-linked securities in the presence of mortality trend changes
- Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach
- Rotation in age patterns of mortality decline: statistical evidence and modeling
- Scanning the horizon: integrating expert knowledge into the calibration of stochastic mortality models
- The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty
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