Securitization, structuring and pricing of longevity risk

DOI10.1016/j.insmatheco.2009.09.014zbMath1231.91251MaRDI QIDQ659203

Michael Sherris, Samuel Wills

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.2009.09.014

zbMATH Keywords

securitization; longevity risk

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

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Uses Software

• LifeMetrics

Cites Work

• Unnamed Item
• Modeling and Forecasting U.S. Mortality
• Affine processes for dynamic mortality and actuarial valuations
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• A Universal Framework for Pricing Financial and Insurance Risks