Modelling longevity bonds: analysing the Swiss Re Kortis bond
From MaRDI portal
Publication:492630
DOI10.1016/j.insmatheco.2015.03.017zbMath1348.91150OpenAlexW1968865178MaRDI QIDQ492630
Publication date: 20 August 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://openaccess.city.ac.uk/id/eprint/11958/36/wp1504.pdf
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (22)
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables ⋮ A multivariate evolutionary credibility model for mortality improvement rates ⋮ COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH ⋮ MODELLING MORTALITY FOR PENSION SCHEMES ⋮ A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES ⋮ Pricing longevity derivatives via Fourier transforms ⋮ Model-independent price bounds for catastrophic mortality bonds ⋮ Evaluation of credit value adjustment in K-forward ⋮ Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Do actuaries believe in longevity deceleration? ⋮ Identifiability, cointegration and the gravity model ⋮ Cause-specific mortality rates: common trends and differences ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ The economics of sharing macro-longevity risk ⋮ A comparative study of pricing approaches for longevity instruments ⋮ Pitfalls and merits of cointegration-based mortality models ⋮ It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk ⋮ ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ A Bayesian Approach to Modeling and Projecting Cohort Effects ⋮ Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing
Cites Work
- Unnamed Item
- Modeling and Forecasting U.S. Mortality
- Parametric mortality improvement rate modelling and projecting
- On stochastic mortality modeling
- Pricing and securitization of multi-country longevity risk with mortality dependence
- Modeling and forecasting mortality rates
- Mortality-dependent financial risk measures
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
- Modelling Adult Mortality in Small Populations: The Saint Model
- Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach
- A Gravity Model of Mortality Rates for Two Related Populations
- Measuring Basis Risk in Longevity Hedges
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Natural Hedging of Life and Annuity Mortality Risks
- A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
- A multivariate time series approach to projected life tables
- Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence
- A General Procedure for Constructing Mortality Models
- Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II
- On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England
- A discussion of parameter and model uncertainty in insurance
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
This page was built for publication: Modelling longevity bonds: analysing the Swiss Re Kortis bond