On the pricing of longevity-linked securities
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Recommendations
- Pricing longevity-linked securities in the presence of mortality trend changes
- Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
- Securitization, structuring and pricing of longevity risk
- Longevity risk: an empirical analysis for life annuity
- Market pricing of longevity-linked securities
Cites work
- scientific article; zbMATH DE number 4032883 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1250625 (Why is no real title available?)
- A Universal Framework for Pricing Financial and Insurance Risks
- Affine processes for dynamic mortality and actuarial valuations
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Continuous-time security pricing. A utility gradient approach
- Hedging life insurance with pure endowments
- Martingales and arbitrage in multiperiod securities markets
- Mortality derivatives and the option to annuitise.
- Natural hedging of life and annuity mortality risks
- On the Applicability of the Wang Transform for Pricing Financial Risks
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
- Rare disasters and asset markets in the twentieth century
- Securitization of catastrophe mortality risks
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- The prediction risk for the development of mortality -- can it be minimized by an appropriate portfolio composition?
- The timing of annuitization: Investment dominance and mortality risk
- Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
Cited in
(56)- Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices
- Heterogeneous expectations and speculative behavior in insurance-linked securities
- Pricing \(q\)-forward contracts: an evaluation of estimation window and pricing method under different mortality models
- Sharing longevity risk: why governments should issue longevity bonds
- HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS
- Mortality options: the point of view of an insurer
- Pricing longevity-linked securities in the presence of mortality trend changes
- Pensions and genetics: can longevity genes be reliable risk factors for annuity pricing?
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
- Multidimensional Lee-Carter model with switching mortality processes
- Consistent dynamic affine mortality models for longevity risk applications
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Mortality-dependent financial risk measures
- Robust evaluation of SCR for participating life insurances under Solvency II
- Options on tontines: an innovative way of combining tontines and annuities
- The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices
- Longevity Risk and Capital Markets: The 2017–2018 Update
- Understanding, modelling and managing longevity risk: key issues and main challenges
- Tonuity: a novel individual-oriented retirement plan
- A partial internal model for longevity risk
- Research on pricing longevity bonds with cohort mortality dependence
- Dynamic hedging of longevity risk: the effect of trading frequency
- Analyzing mortality bond indexes via hierarchical forecast reconciliation
- Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
- A combined analysis of hedge effectiveness and capital efficiency in longevity hedging
- Longevity risk and capital markets: the 2019--20 update
- Tackling longevity risk by means of financial compensation
- On the robustness of longevity risk pricing
- Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time
- Securitization, structuring and pricing of longevity risk
- On the forward rate concept in multi-state life insurance
- Longevity Risk and Capital Markets: The 2012–2013 Update
- Hedging pure endowments with mortality derivatives
- Care-dependent tontines
- A comparative study of pricing approaches for longevity instruments
- Modelling longevity bonds: analysing the Swiss Re Kortis bond
- Longevity risk management and shareholder value for a life annuity business
- A new defined benefit pension risk measurement methodology
- Editorial: Longevity risk and capital markets: the 2013--14 update
- Multi-population mortality models: a factor copula approach
- The choice of sample size for mortality forecasting: a Bayesian learning approach
- Pricing extreme mortality risk in the wake of the COVID-19 pandemic
- Market pricing of longevity-linked securities
- Tail index-linked annuity: a longevity risk sharing retirement plan
- An efficient method for mitigating longevity value-at-risk
- Longevity bond premiums: the extreme value approach and risk cubic pricing
- Pricing and hedging of longevity basis risk through securitisation
- Do actuaries believe in longevity deceleration?
- Longevity risk and capital markets: the 2015--16 update
- Valuation of longevity-linked life annuities
- Constructing out-of-the-money longevity hedges using parametric mortality indexes
- Modeling and pricing longevity derivatives using Skellam distribution
- Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds
- It takes two: why mortality trend modeling is more than modeling one mortality trend
- Longevity-linked assets and pre-retirement consumption/portfolio decisions
- A decomposition of general premium principles into risk and deviation
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