Mortality risk modeling: applications to insurance securitization

DOI10.1016/j.insmatheco.2009.09.012zbMath1231.91168OpenAlexW3124071096MaRDI QIDQ659218

Yijia Lin, S. H. jun. Cox, Hal W. Pedersen

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.2009.09.012

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Portfolio theory (91G10)

Related Items (33)

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Uses Software

• LifeMetrics

Cites Work

• Modeling and Forecasting U.S. Mortality
• Affine processes for dynamic mortality and actuarial valuations
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• Dynamic population models.
• A bidimensional approach to mortality risk
• Estimating the term structure of mortality
• Securitization of catastrophe mortality risks
• Mortality derivatives and the option to annuitise.
• 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
• An Introduction to the Theory of Point Processes
• Natural Hedging of Life and Annuity Mortality Risks
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
• Utility Functions
• Historical and Projected Mortality for Mexico, Canada, and the United States
• An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data

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