Modeling the Risk in Mortality Projections

DOI10.1287/opre.2021.2255zbMath1500.91118OpenAlexW4213359972MaRDI QIDQ5106354

Nan Zhu, Daniel J. Bauer

Publication date: 19 September 2022

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2021.2255

zbMATH Keywords

longevity riskaffine modelsforward mortality modelsmortality risk management

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Cites Work

• Forecasting the term structure of government bond yields
• Modeling and Forecasting U.S. Mortality
• A Jump-Diffusion Model for Option Pricing
• Stochastic mortality models: an infinite-dimensional approach
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• Mortality derivatives and the option to annuitise.
• Minimal realizations in interest rate models
• Forward transition rates
• On the forward rate concept in multi-state life insurance
• Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices
• On the geometry of the term structure of interest rates
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Smoothing and forecasting mortality rates
• Modeling the Forward Surface of Mortality
• Actuarial Mathematics for Life Contingent Risks
• Pricing Interest-Rate-Derivative Securities
• Determining the Number of Factors in Approximate Factor Models
• Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers

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