Longevity risk in pension annuities with exchange options: the effect of product design
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Recommendations
- Valuation of longevity-linked life annuities
- Macro longevity risk and the choice between annuity products: evidence from Denmark
- Longevity risk in portfolios of pension annuities
- Tackling longevity risk by means of financial compensation
- Optimal Portfolio Choice in Retirement With Participating Life Annuities
Cites work
- scientific article; zbMATH DE number 1001734 (Why is no real title available?)
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
- Lee-Carter mortality forecasting with age-specific enhancement.
- Longevity risk in portfolios of pension annuities
- Modeling and forecasting U.S. mortality. (With discussion)
- Pension plan valuation and mortality projection: a case study with mortality data
- 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
- Manual and Automated Procedures for Compiling a Very Large Sample of Centenarian Pedigrees
- A simple linear regression approach to modeling and forecasting mortality rates
- 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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