Longevity Risk and Capital Markets: The 2017–2018 Update
From MaRDI portal
Publication:4987087
DOI10.1080/10920277.2019.1644469OpenAlexW2966429142MaRDI QIDQ4987087
No author found.
Publication date: 28 April 2021
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2019.1644469
Related Items
Cites Work
- Unnamed Item
- Modelling and management of mortality risk: a review
- Optimal Annuity Risk Management*
- Stochastic mortality under measure changes
- Hedging Longevity Risk When Interest Rates are Uncertain
- A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks
- A Gravity Model of Mortality Rates for Two Related Populations
- Measuring Basis Risk in Longevity Hedges
- Mortality Regimes and Pricing
- Forecasting with the age-period-cohort model and the extended chain-ladder model
- Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- A NEURAL-NETWORK ANALYZER FOR MORTALITY FORECAST
- AGE-SPECIFIC ADJUSTMENT OF GRADUATED MORTALITY
- COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH
- The impact of multiple structural changes on mortality predictions
- Incorporating the Bühlmann credibility into mortality models to improve forecasting performances
- Quantifying mortality risk in small defined-benefit pension schemes
- Rethinking age-period-cohort mortality trend models
- Pricingq-forward contracts: an evaluation of estimation window and pricing method under different mortality models
- On fitting generalized linear and non-linear models of mortality
- Smoothing and forecasting mortality rates
- A Flexible Functional Form Approach To Mortality Modeling: Do We Need Additional Cohort Dummies?
- Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting
- Natural Hedging of Life and Annuity Mortality Risks
- Securitization of Longevity Risk in Reverse Mortgages
- A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
- Bootstrapping the Poisson log-bilinear model for mortality forecasting
- Extending Lee–Carter Mortality Forecasting
- Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers
- Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform
- The CBD Mortality Indexes: Modeling and Applications
- Systematic and Nonsystematic Mortality Risk in Pension Portfolios
- Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk
- Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
- A Cautionary Note on Natural Hedging of Longevity Risk
- A General Procedure for Constructing Mortality Models
- Detecting Common Longevity Trends by a Multiple Population Approach
- 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
- Gender Convergence in Human Survival and the Postponement of Death
- Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions
- A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages
- Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds
- Modeling and Forecasting U.S. Mortality
- The double-gap life expectancy forecasting model
- A Bayesian forecasting model: predicting U.S. male mortality
- Parametric mortality improvement rate modelling and projecting
- The stratified sampling bootstrap for measuring the uncertainty in mortality forecasts
- Love and death: a Freund model with frailty
- Modelling longevity bonds: analysing the Swiss Re Kortis bond
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
- Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach
- Prospective mortality tables: taking heterogeneity into account
- A step-by-step guide to building two-population stochastic mortality models
- Multi-population mortality models: a factor copula approach
- A common age effect model for the mortality of multiple populations
- The choice of sample size for mortality forecasting: a Bayesian learning approach
- Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach
- Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
- A new defined benefit pension risk measurement methodology
- De-risking defined benefit plans
- Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
- Optimal retirement income tontines
- A dynamic parameterization modeling for the age-period-cohort mortality
- A recursive approach to mortality-linked derivative pricing
- Stochastic portfolio specific mortality and the quantification of mortality basis risk
- On age-period-cohort parametric mortality rate projections
- On stochastic mortality modeling
- On the pricing of longevity-linked securities
- Longevity bond premiums: the extreme value approach and risk cubic pricing
- A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
- Securitization, structuring and pricing of longevity risk
- Securitizing and tranching longevity exposures
- Evaluating the advanced life deferred annuity -- an annuity people might actually buy
- Longevity risk in pension annuities with exchange options: the effect of product design
- On the optimal product mix in life insurance companies using conditional value at risk
- Mortality risk modeling: applications to insurance securitization
- Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models
- An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation
- Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
- Evaluating the goodness of fit of stochastic mortality models
- On the robustness of longevity risk pricing
- Affine processes for dynamic mortality and actuarial valuations
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Bayesian Poisson log-bilinear mortality projections
- Identification and forecasting in mortality models
- Valuation of the interest rate guarantee embedded in defined contribution pension plans
- Assessing the cost of capital for longevity risk
- Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
- Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
- Quadratic stochastic intensity and prospective mortality tables
- The role of longevity bonds in optimal portfolios
- Estimating the term structure of mortality
- On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
- A parameterized approach to modeling and forecasting mortality
- Annuitization and asset allocation
- Mortality derivatives and the option to annuitise.
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- Lee-Carter mortality forecasting with age-specific enhancement.
- Semi-parametric extensions of the Cairns-Blake-Dowd model: a one-dimensional kernel smoothing approach
- The choice of trigger in an insurance linked security: the mortality risk case
- Pension risk management with funding and buyout options
- Valuation of longevity-linked life annuities
- Unisex pricing of German participating life annuities -- boon or bane for customer and insurance company?
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
- Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
- A strategy for hedging risks associated with period and cohort effects using q-forwards
- Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets
- Cause-of-death mortality: what can be learned from population dynamics?
- Using Taiwan national health insurance database to model cancer incidence and mortality rates
- Do actuaries believe in longevity deceleration?
- Mortality models and longevity risk for small populations
- Identifiability, cointegration and the gravity model
- Modeling trend processes in parametric mortality models
- De-risking strategy: longevity spread buy-in
- A comparative study of pricing approaches for longevity instruments
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Longevity bond pricing under stochastic interest rate and mortality with regime-switching
- Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
- Calibrating affine stochastic mortality models using term assurance premiums
- Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality
- Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
- Forecasting mortality in subpopulations using Lee-Carter type models: a comparison
- A semiparametric panel approach to mortality modeling
- Five different distributions for the Lee-Carter model of mortality forecasting: a comparison using GAS models
- An index for longevity risk transfer
- Multidimensional Lee-Carter model with switching mortality processes
- Pricing and securitization of multi-country longevity risk with mortality dependence
- Modeling and forecasting mortality rates
- Optimal retirement consumption with a stochastic force of mortality
- Modelling and projecting mortality improvement rates using a cohort perspective
- Modelling dependent data for longevity projections
- 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
- Parametric mortality indexes: from index construction to hedging strategies
- It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk
- Life-cycle asset allocation with annuity markets
- Key Q-Duration: A Framework for Hedging Longevity Risk
- Extending the Lee–Carter model: a three-way decomposition
- Understanding, modelling and managing longevity risk: key issues and main challenges
- Longevity hedge effectiveness: a decomposition
- Modelling Adult Mortality in Small Populations: The Saint Model
- Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach