An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation
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Publication:659246
DOI10.1016/j.insmatheco.2009.12.008zbMath1231.91209OpenAlexW2004330631MaRDI QIDQ659246
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.2009.12.008
Related Items (8)
Longevity risk and capital markets: the 2015--16 update ⋮ A Linear Regression Approach to Modeling Mortality Rates of Different Forms ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Age-specific copula-AR-GARCH mortality models ⋮ A Simple Linear Regression Approach to Modeling and Forecasting Mortality Rates
Cites Work
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- Bayesian graduation of mortality rates: an application to reserve evaluation
- Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
- Mortality modelling with Lévy processes
- Longevity risk in portfolios of pension annuities
- Mortality derivatives and the option to annuitise.
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- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Mortality-dependent financial risk measures
- Affine stochastic mortality
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
- An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
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