Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
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Cites work
- A gravity model of mortality rates for two related populations
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- Comonotonic approximations to quantiles of life annuity conditional expected present values extensions to general ARIMA models and comparison with the bootstrap
- Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Longevity hedge effectiveness: a decomposition
- Measuring Basis Risk in Longevity Hedges
- Modeling and forecasting U.S. mortality. (With discussion)
- Modeling and management of mortality risk: a review
- Modelling adult mortuality in small populations the saint model
- On systematic mortality risk and risk-minimization with survivor swaps
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Stochastic Mortality: The Impact on Target Capital
- Stochastic portfolio specific mortality and the quantification of mortality basis risk
Cited in
(30)- The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk
- A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
- Longevity hedge effectiveness: a decomposition
- Parametric mortality indexes: from index construction to hedging strategies
- Downside risk management of a defined benefit plan considering longevity basis risk
- Modeling period effects in multi-population mortality models: applications to Solvency II
- Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach
- Longevity hedge effectiveness using socioeconomic indices
- A partial internal model for longevity risk
- A new approximation of annuity prices for age-period-cohort models
- Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
- Stochastic modelling of mortality and financial markets
- Longevity Greeks: what do insurers and capital market investors need to know?
- Statistical emulators for pricing and hedging longevity risk products
- Modeling longevity risk with generalized dynamic factor models and vine-copulae
- Dynamic hedging of longevity risk: the effect of trading frequency
- Recent declines in life expectancy: implication on longevity risk hedging
- Computational framework for longevity risk management
- Optimal dynamic longevity hedge with basis risk
- It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk
- Individual post-retirement longevity risk management under systematic mortality risk
- Green nested simulation via likelihood ratio: applications to longevity risk management
- Risk management for pension funds. A continuous time approach with applications in R
- The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty
- De-risking defined benefit plans
- An efficient method for mitigating longevity value-at-risk
- The CBD Mortality Indexes: Modeling and Applications
- Constructing out-of-the-money longevity hedges using parametric mortality indexes
- A strategy for hedging risks associated with period and cohort effects using q-forwards
- If we can simulate it, we can insure it: an application to longevity risk management
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