Assessing the cost of capital for longevity risk
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Publication:931189
DOI10.1016/J.INSMATHECO.2007.12.002zbMath1141.91540OpenAlexW2046731914MaRDI QIDQ931189
Ermanno Pitacco, Annamaria Olivieri
Publication date: 25 June 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.12.002
Related Items (13)
LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS ⋮ Stress scenario generation for solvency and risk management ⋮ Insurance markets and unisex tariffs: is the European Court of Justice improving or destroying welfare? ⋮ Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Do actuaries believe in longevity deceleration? ⋮ A linear algebraic method for pricing temporary life annuities and insurance policies ⋮ 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 ⋮ A comparative study of pricing approaches for longevity instruments ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Assessment of longevity risk: credibility approach
Cites Work
- Modeling and Forecasting U.S. Mortality
- Affine processes for dynamic mortality and actuarial valuations
- A bidimensional approach to mortality risk
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- Lee-Carter mortality forecasting with age-specific enhancement.
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
- Uncertainty in mortality projections: an actuarial perspective
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