Stochastic modelling of mortality and financial markets

DOI10.1080/03461238.2012.724442MaRDI QIDQ4576865zbMATH OpenOpenAlexFDO

Authors Helena Aro, Teemu Pennanen

Publication date 11 July 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2012.724442

zbMATH Keywords

mortality riskmarket riskstochastic modeling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• An equilibrium characterization of the term structure
• Lee-Carter mortality forecasting with age-specific enhancement.
• Measuring Basis Risk in Longevity Hedges
• Modeling and forecasting U.S. mortality. (With discussion)
• Modeling and management of mortality risk: a review
• Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
• Understanding, modelling and managing longevity risk: key issues and main challenges

Cited in

(10)

• Systematic and nonsystematic mortality risk in pension portfolios
• A subordinated Markov model for stochastic mortality
• Calibrating affine stochastic mortality models using term assurance premiums
• Mortality-dependent financial risk measures
• The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices
• Stochastic modeling of assets and liabilities with mortality risk
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Cashflow-driven investment beyond expectations
• On stochastic mortality modeling
• Stochastic Mortality: The Impact on Target Capital

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