A partial internal model for longevity risk
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Publication:4576802
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Cites work
- scientific article; zbMATH DE number 5522381 (Why is no real title available?)
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- A gravity model of mortality rates for two related populations
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Extending Lee–Carter Mortality Forecasting
- Lee-Carter mortality forecasting with age-specific enhancement.
- Measuring Basis Risk in Longevity Hedges
- Modeling and forecasting U.S. mortality. (With discussion)
- Modelling adult mortuality in small populations the saint model
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- On the pricing of longevity-linked securities
- Smoothing and forecasting mortality rates
- Stochastic Mortality: The Impact on Target Capital
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Stochastic portfolio specific mortality and the quantification of mortality basis risk
- Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach
- Valuation and hedging of life insurance liabilities with systematic mortality risk
Cited in
(13)- Cash flows and policyholder behaviour in the semi-Markov life insurance setup
- Long guarantees with short duration: the rolling annuity
- Experience rating in the classic Markov chain life insurance setting
- From regulatory life tables to stochastic mortality projections: the exponential decline model
- THE SAINT MODEL: A DECADE LATER
- Dynamics of state-wise prospective reserves in the presence of non-monotone information
- Computational framework for longevity risk management
- Estimating absorption time distributions of general Markov jump processes
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Longevity risk: an empirical analysis for life annuity
- Forecasting Longevity Gains for a Population with Short Time Series Using a Structural SUTSE Model: An Application to Brazilian Annuity Plans
- Financial position and performance in IFRS 17
- Individual post-retirement longevity risk management under systematic mortality risk
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