Stochastic modelling of mortality and financial markets

DOI10.1080/03461238.2012.724442zbMATH Open1401.91093OpenAlexW3126086250MaRDI QIDQ4576865FDOQ4576865

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

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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)

Cites Work

• Modeling and Forecasting U.S. Mortality
• Understanding, modelling and managing longevity risk: key issues and main challenges
• Title not available (Why is that?)
• An equilibrium characterization of the term structure
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Measuring Basis Risk in Longevity Hedges
• Modeling and management of mortality risk: a review
• Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
• Lee-Carter mortality forecasting with age-specific enhancement.

Cited In (8)

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

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