On the pricing of longevity-linked securities
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Publication:659196
DOI10.1016/J.INSMATHECO.2009.06.005zbMATH Open1231.91142OpenAlexW2172272462MaRDI QIDQ659196FDOQ659196
Authors: Matthias Börger, Jochen Ruß, Daniel Bauer 
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.06.005
Recommendations
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- Market pricing of longevity-linked securities
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Cited In (56)
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
- Pricing and hedging of longevity basis risk through securitisation
- Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices
- Pricing \(q\)-forward contracts: an evaluation of estimation window and pricing method under different mortality models
- Heterogeneous expectations and speculative behavior in insurance-linked securities
- 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?
- Multidimensional Lee-Carter model with switching mortality processes
- Consistent dynamic affine mortality models for longevity risk applications
- The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices
- Mortality-dependent financial risk measures
- Robust evaluation of SCR for participating life insurances under Solvency II
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Options on tontines: an innovative way of combining tontines and annuities
- Longevity Risk and Capital Markets: The 2017–2018 Update
- Tonuity: a novel individual-oriented retirement plan
- Understanding, modelling and managing longevity risk: key issues and main challenges
- 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
- On the forward rate concept in multi-state life insurance
- Securitization, structuring and pricing of longevity risk
- 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
- Market pricing of longevity-linked securities
- Pricing extreme mortality risk in the wake of the COVID-19 pandemic
- Tail index-linked annuity: a longevity risk sharing retirement plan
- 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
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- An efficient method for mitigating longevity value-at-risk
- Longevity bond premiums: the extreme value approach and risk cubic pricing
- Constructing out-of-the-money longevity hedges using parametric mortality indexes
- Do actuaries believe in longevity deceleration?
- Longevity risk and capital markets: the 2015--16 update
- Valuation of longevity-linked life annuities
- 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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