A COVID-19 stress test for life insurance: insights into the effectiveness of different risk mitigation strategies
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Publication:6593145
Recommendations
- Pricing extreme mortality risk in the wake of the COVID-19 pandemic
- Spatial natural hedging: a general framework with application to the mortality of U.S. states
- A feasible natural hedging strategy for insurance companies
- The impact of the determinants of mortality on life insurance and annuities
- Mortality risk management under the factor copula framework -- with applications to insurance policy pools
Cites work
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
- Modeling and forecasting U.S. mortality. (With discussion)
- Natural hedging of life and annuity mortality risks
- On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
- Pricing extreme mortality risk in the wake of the COVID-19 pandemic
- Pricing pension buy-outs under stochastic interest and mortality rates
- The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- Valuation of contingent claims with mortality and interest rate risks
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