Longevity risk in portfolios of pension annuities
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Cites work
- scientific article; zbMATH DE number 1001734 (Why is no real title available?)
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- scientific article; zbMATH DE number 2054514 (Why is no real title available?)
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- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- Affine stochastic mortality
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- Modeling and forecasting U.S. mortality. (With discussion)
- Stochastic analysis in life office management: applications to large annuity portfolios
- Survival models in a dynamic context: a survey
- Uncertainty in mortality projections: an actuarial perspective
Cited in
(38)- Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans
- Optimal dynamic longevity hedge with basis risk
- Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
- A partial internal model for longevity risk
- Longevity hedge effectiveness using socioeconomic indices
- Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach
- The timing of annuitization: Investment dominance and mortality risk
- Modeling longevity risk with generalized dynamic factor models and vine-copulae
- scientific article; zbMATH DE number 2101239 (Why is no real title available?)
- Redistribution of longevity risk: the effect of heterogeneous mortality beliefs
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- The impact of longevity and investment risk on a portfolio of life insurance liabilities
- An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation
- Longevity risk in pension annuities with exchange options: the effect of product design
- Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models
- A simple linear regression approach to modeling and forecasting mortality rates
- Macro longevity risk and the choice between annuity products: evidence from Denmark
- Pooling mortality risk in eurozone state pension liabilities: an application of a Bayesian coherent multi-population cohort-based mortality model
- The economics of sharing macro-longevity risk
- Managing longevity and disability risks in life annuities with long term care
- Solvency II solvency capital requirement for life insurance companies based on expected shortfall
- Bayesian value-at-risk backtesting: the case of annuity pricing
- Assessing the solvency of insurance portfolios via a continuous-time cohort model
- Tackling longevity risk by means of financial compensation
- A linear regression approach to modeling mortality rates of different forms
- Age-specific copula-AR-GARCH mortality models
- Systematic and nonsystematic mortality risk in pension portfolios
- Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets
- Barwerte von Renten mit Dynamik
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Nash equilibria of over-the-counter bargaining for insurance risk redistributions: the role of a regulator
- Longevity risk: an empirical analysis for life annuity
- Profitability vs. attractiveness within a performance analysis of a life annuity business
- scientific article; zbMATH DE number 5522381 (Why is no real title available?)
- Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts
- Target benefit pension plan with longevity risk and intergenerational equity
- Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods
- Individual post-retirement longevity risk management under systematic mortality risk
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