Stochastic portfolio specific mortality and the quantification of mortality basis risk
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Cites work
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
- Market Value of Liabilities Mortality Risk
- Modeling and forecasting U.S. mortality. (With discussion)
- Modelling adult mortuality in small populations the saint model
- Principal component analysis.
- Smoothing and forecasting mortality rates
- Valuation and hedging of life insurance liabilities with systematic mortality risk
Cited in
(34)- Longevity risk and capital markets: the 2015--16 update
- Longevity risk and capital markets: the 2019--20 update
- Socio-economic differentiation in experienced mortality modelling and its pricing implications
- A more meaningful parameterization of the Lee-Carter model
- On the effectiveness of natural hedging for insurance companies and pension plans
- Coherent modeling of male and female mortality using Lee-Carter in a complex number framework
- Parametric mortality indexes: from index construction to hedging strategies
- Longevity hedge effectiveness: a decomposition
- A credibility approach of the Makeham mortality law
- Stochastic Mortality: The Impact on Target Capital
- Coherent forecasting of mortality rates: a sparse vector-autoregression approach
- Modelling mortality for pension schemes
- A comparative study of two-population models for the assessment of basis risk in longevity hedges
- A Bayesian joint model for population and portfolio-specific mortality
- A partial internal model for longevity risk
- Cohort extensions of the Poisson common factor model for modelling both genders jointly
- Editorial: Longevity risk and capital markets: the 2013--14 update
- Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach
- Longevity Risk and Capital Markets: The 2017–2018 Update
- An efficient method for mitigating longevity value-at-risk
- Tail index-linked annuity: a longevity risk sharing retirement plan
- Basis risk modelling: a cointegration-based approach
- Longevity Risk and Capital Markets: The 2012–2013 Update
- Downside risk management of a defined benefit plan considering longevity basis risk
- THE SAINT MODEL: A DECADE LATER
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- A stochastic model for mortality rate on italian data
- Pricing and hedging of longevity basis risk through securitisation
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- Longevity Risk Modeling with the Consumer Price Index
- Avoiding a longevity catastrophe: harnessing longevity indices to mitigate individual, institutional and systemic longevity risks
- Quantifying longevity gaps using micro-level lifetime data
- Change-point detection in functional time series: applications to age-specific mortality and fertility
- The prediction risk for the development of mortality -- can it be minimized by an appropriate portfolio composition?
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