Forward mortality rates in discrete time. I: Calibration and securities pricing
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Recommendations
- Market pricing of longevity-linked securities
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time
- Pricing longevity-linked securities in the presence of mortality trend changes
- Modeling the forward surface of mortality
Cites work
- A cautionary note on natural hedging of longevity risk
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- A discussion of parameter and model uncertainty in insurance
- A general procedure for constructing mortality models
- A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- A Universal Framework for Pricing Financial and Insurance Risks
- Affine stochastic mortality
- An index for longevity risk transfer
- Closing and projecting life tables using log-linear models
- Forward mortality and other vital rates - are they the way forward?
- Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
- Hedging life insurance with pure endowments
- Key q-duration: a framework for hedging longevity risk
- Modeling and forecasting U.S. mortality. (With discussion)
- Modelling longevity bonds: analysing the Swiss Re Kortis bond
- Modelling mortality for pension schemes
- Mortality derivatives and the option to annuitise.
- Mortality regimes and longevity risk in a life annuity portfolio
- Mortality regimes and pricing
- Mortality-dependent financial risk measures
- Natural hedging of life and annuity mortality risks
- On age-period-cohort parametric mortality rate projections
- On stochastic mortality modeling
- On the (in-)dependence between financial and actuarial risks
- Pricing and hedging guaranteed annuity options via static option replication.
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Stochastic mortality models: an infinite-dimensional approach
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
- Two Moments of the Logitnormal Distribution
- Understanding, modelling and managing longevity risk: key issues and main challenges
- Using the Lee-Carter Method to Forecast Mortality for Populations with Limited Data*
- Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
Cited in
(8)- Longevity risk and capital markets: the 2019--20 update
- Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time
- Evaluation of credit value adjustment in K-forward
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models
- Modeling the forward surface of mortality
- Market pricing of longevity-linked securities
- Longevity hedge effectiveness using socioeconomic indices
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