A COVID-19 stress test for life insurance: insights into the effectiveness of different risk mitigation strategies
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Publication:6593145
DOI10.1007/S13385-023-00371-3zbMATH Open1542.91341MaRDI QIDQ6593145FDOQ6593145
Authors: Moritz Hanika 
Publication date: 26 August 2024
Published in: European Actuarial Journal (Search for Journal in Brave)
Recommendations
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Cites Work
- Modeling and forecasting U.S. mortality. (With discussion)
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- Natural hedging of life and annuity mortality risks
- Valuation of contingent claims with mortality and interest rate risks
- A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
- Pricing pension buy-outs under stochastic interest and mortality rates
- Pricing extreme mortality risk in the wake of the COVID-19 pandemic
- The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices
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