Forward mortality and other vital rates - are they the way forward?
From MaRDI portal
Publication:661220
DOI10.1016/j.insmatheco.2010.07.002zbMath1231.91459OpenAlexW2035077844MaRDI QIDQ661220
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.2010.07.002
credit riskstochastic intereststochastic mortalitymulti-state life insurance modelsrates vs. intensities
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (15)
Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting ⋮ Retirement spending and biological age ⋮ Kolmogorov’s forward PIDE and forward transition rates in life insurance ⋮ Extension of as-if-Markov modeling to scaled payments ⋮ Optimal retirement consumption with a stochastic force of mortality ⋮ A comonotonicity-based valuation method for guaranteed annuity options ⋮ Stochastic mortality models: an infinite-dimensional approach ⋮ Forward transition rates ⋮ Ragnar Norberg (1945–2017): an actuary of a unique kind ⋮ Risk aggregation and stochastic claims reserving in disability insurance ⋮ Dependent interest and transition rates in life insurance ⋮ On the calculation of prospective and retrospective reserves in non-Markov models ⋮ Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing ⋮ Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies ⋮ On the forward rate concept in multi-state life insurance
Cites Work
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Mortality derivatives and the option to annuitise.
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Arbitrage Theory in Continuous Time
- Statistical models based on counting processes
This page was built for publication: Forward mortality and other vital rates - are they the way forward?
