Mortality risk modeling: applications to insurance securitization
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Cites work
- A bidimensional approach to mortality risk
- Affine processes for dynamic mortality and actuarial valuations
- An Introduction to the Theory of Point Processes
- An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
- Dynamic population models.
- Estimating the term structure of mortality
- Historical and Projected Mortality for Mexico, Canada, and the United States
- Modeling and forecasting U.S. mortality. (With discussion)
- Mortality derivatives and the option to annuitise.
- Natural hedging of life and annuity mortality risks
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Securitization of catastrophe mortality risks
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
- Utility Functions
- Valuation and hedging of life insurance liabilities with systematic mortality risk
Cited in
(56)- Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds
- Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices
- Heterogeneous expectations and speculative behavior in insurance-linked securities
- Correlated age-specific mortality model: an application to annuity portfolio management
- Mortality regimes and longevity risk in a life annuity portfolio
- Hedging Mortality/Longevity Risks for Multiple Years
- Downside risk management of a defined benefit plan considering longevity basis risk
- A synthesis mortality model for the elderly
- Securitization of longevity risk in reverse mortgages
- Mortality options: the point of view of an insurer
- The Impact of Disability Insurance on a Portfolio of Life Insurances
- Affine processes for dynamic mortality and actuarial valuations
- Coherent mortality forecasting with generalized linear models: a modified time-transformation approach
- Optimal longevity risk transfer and investment strategies
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Mortality-dependent financial risk measures
- Longevity Risk and Capital Markets: The 2017–2018 Update
- A simple linear regression approach to modeling and forecasting mortality rates
- A Hermite-spline model of post-retirement mortality
- Stochastic modelling of mortality and financial markets
- Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
- Stochastic modeling of assets and liabilities with mortality risk
- Stochastic portfolio specific mortality and the quantification of mortality basis risk
- Incorporating statistical clustering methods into mortality models to improve forecasting performances
- Longevity risk and capital markets: the 2019--20 update
- Price bounds of mortality-linked security in incomplete insurance market
- It's not now or never: implications of investment timing and risk aversion on climate adaptation to extreme events
- Incorporating the Bühlmann credibility into mortality models to improve forecasting performances
- Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time
- Longevity Risk and Capital Markets: The 2012–2013 Update
- A bidimensional approach to mortality risk
- Modeling pandemic mortality risk and its application to mortality-linked security pricing
- Stochastic mortality dynamics driven by mixed fractional Brownian motion
- A comparative study of pricing approaches for longevity instruments
- Model-independent price bounds for catastrophic mortality bonds
- A step-by-step guide to building two-population stochastic mortality models
- A new defined benefit pension risk measurement methodology
- Editorial: Longevity risk and capital markets: the 2013--14 update
- De-risking defined benefit plans
- The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
- Livestock mortality catastrophe insurance using fatal shock process
- Statistical Estimation Techniques in Life and Disability Insurance—A Short Overview
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation
- Longevity bond premiums: the extreme value approach and risk cubic pricing
- Modeling the forward surface of mortality
- A linear regression approach to modeling mortality rates of different forms
- Longevity risk and capital markets: the 2015--16 update
- Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform
- Modeling and pricing longevity derivatives using Skellam distribution
- Estimating the term structure of mortality
- Securitization of catastrophe mortality risks
- On the mortality/longevity risk hedging with mortality immunization
- Market Value of Liabilities Mortality Risk
- Pricing longevity derivatives via Fourier transforms
- Mortality regimes and pricing
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