Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts

DOI10.1016/J.INSMATHECO.2006.02.012zbMath1151.91577OpenAlexW1972551937MaRDI QIDQ860503

Yulia Romaniuk, Alexander V. Melnikov

Publication date: 9 January 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.02.012

zbMATH Keywords

risk managementstochastic modellingquantile hedgingmortality forecastingmortality modelunit-linked contracts

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (19)

EFFICIENT HEDGING FOR DEFAULTABLE SECURITIES AND ITS APPLICATION TO EQUITY-LINKED LIFE INSURANCE CONTRACTS ⋮ A closed-form expression for the quantile function of the Gompertz-Makeham distribution ⋮ On the valuation of reverse mortgage insurance ⋮ Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics ⋮ The stratified sampling bootstrap for measuring the uncertainty in mortality forecasts ⋮ EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS ⋮ A feasible natural hedging strategy for insurance companies ⋮ Indifference Pricing of a GLWB Option in Variable Annuities ⋮ Dynamic hedging of conditional value-at-risk ⋮ On the valuation of reverse mortgages with regular tenure payments ⋮ The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts ⋮ On the optimal product mix in life insurance companies using conditional value at risk ⋮ Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models ⋮ The conversion option in life insurance ⋮ Stochastic roots of growth phenomena ⋮ Quantile hedging on equity-linked life insurance contracts with transaction costs ⋮ A Berry-Esseen theorem for sample quantiles under weak dependence ⋮ Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age? ⋮ Ordering properties of the smallest and largest lifetimes in Gompertz–Makeham model

Uses Software

• DerivaGem
• Human Mortality

Cites Work

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• Modeling and Forecasting U.S. Mortality
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• Quantile hedging
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• A Theory of the Term Structure of Interest Rates
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Pricing of Unit-linked Life Insurance Policies
• An equilibrium characterization of the term structure
• Bootstrapping the Poisson log-bilinear model for mortality forecasting
• Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
• Projecting Mortality Trends
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications

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