Longevity risk in pension annuities with exchange options: the effect of product design
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Publication:659212
DOI10.1016/J.INSMATHECO.2009.09.005zbMATH Open1231.91241OpenAlexW1976943021MaRDI QIDQ659212FDOQ659212
Authors: Ralph Stevens, Anja De Waegenaere, Bertrand Melenberg 
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.2009.09.005
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Cites Work
- Modeling and forecasting U.S. mortality. (With discussion)
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- Longevity risk in portfolios of pension annuities
- Lee-Carter mortality forecasting with age-specific enhancement.
- Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
- Pension plan valuation and mortality projection: a case study with mortality data
- Title not available (Why is that?)
- Uncertainty in mortality projections: an actuarial perspective
Cited In (19)
- The impact of longevity and investment risk on a portfolio of life insurance liabilities
- Hedging Mortality/Longevity Risks for Multiple Years
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Longevity Risk and Capital Markets: The 2017–2018 Update
- A simple linear regression approach to modeling and forecasting mortality rates
- Manual and Automated Procedures for Compiling a Very Large Sample of Centenarian Pedigrees
- Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
- Macro longevity risk and the choice between annuity products: evidence from Denmark
- Longevity risk and capital markets: the 2019--20 update
- An option pricing approach for measuring solvency capital requirements in insurance industry
- Uncertainty on survival probabilities and solvency capital requirement: application to long-term care insurance
- Constrained smoothing \(B\)-splines for the term structure of interest rates
- Longevity Risk and Capital Markets: The 2012–2013 Update
- Longevity risk: an empirical analysis for life annuity
- Editorial: Longevity risk and capital markets: the 2013--14 update
- A linear regression approach to modeling mortality rates of different forms
- Longevity risk and capital markets: the 2015--16 update
- Valuation of longevity-linked life annuities
- On the mortality/longevity risk hedging with mortality immunization
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