The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts
From MaRDI portal
Publication:654825
DOI10.1016/J.INSMATHECO.2011.08.001zbMATH Open1228.91041OpenAlexW3125785006MaRDI QIDQ654825FDOQ654825
Authors: Jing Li, Alexander Szimayer 
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/38809
Recommendations
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- Hedging Equity-Linked Life Insurance Contracts
- Risk-minimization for life insurance liabilities
- Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
Cites Work
- Modeling and forecasting U.S. mortality. (With discussion)
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Title not available (Why is that?)
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Affine processes for dynamic mortality and actuarial valuations
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Title not available (Why is that?)
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Mortality derivatives and the option to annuitise.
- Credit risk valuation. Methods, models, and applications.
- The fair value of guaranteed annuity options
- Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio
- The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
- Intensity-based framework and penalty formulation of optimal stopping problems
- Title not available (Why is that?)
Cited In (17)
- Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices
- Analytical pricing of the unit-linked endowment with guarantees and periodic premiums
- Heterogeneous expectations and speculative behavior in insurance-linked securities
- Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
- Unit-linked life insurance policies: optimal hedging in partially observable market models
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Stress scenario generation for solvency and risk management
- Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
- Application of data clustering and machine learning in variable annuity valuation
- Reduced-form framework under model uncertainty
- Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
- SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Modeling partial Greeks of variable annuities with dependence
- Polynomial diffusion models for life insurance liabilities
- Early default risk and surrender risk: impacts on participating life insurance policies
- Variable annuities in a Lévy-based hybrid model with surrender risk
This page was built for publication: The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q654825)
