Longevity risk in portfolios of pension annuities
From MaRDI portal
Publication:998263
DOI10.1016/j.insmatheco.2007.01.012zbMath1152.91586OpenAlexW2108502677MaRDI QIDQ998263
Norbert Hári, Bertrand Melenberg, Theo E. Nijman, Anja De Waegenaere
Publication date: 28 January 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.01.012
Related Items
Nash equilibria of over-the-counter bargaining for insurance risk redistributions: the role of a regulator ⋮ Tackling longevity risk by means of financial compensation ⋮ MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE ⋮ Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts ⋮ Solvency II solvency capital requirement for life insurance companies based on expected shortfall ⋮ Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk ⋮ Longevity hedge effectiveness using socioeconomic indices ⋮ Profitability vs. Attractiveness Within a Performance Analysis of a Life Annuity Business ⋮ Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods ⋮ A Linear Regression Approach to Modeling Mortality Rates of Different Forms ⋮ 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 ⋮ An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation ⋮ Redistribution of longevity risk: the effect of heterogeneous mortality beliefs ⋮ Optimal dynamic longevity hedge with basis risk ⋮ Systematic and Nonsystematic Mortality Risk in Pension Portfolios ⋮ Bayesian value-at-risk backtesting: the case of annuity pricing ⋮ Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities ⋮ Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans ⋮ The economics of sharing macro-longevity risk ⋮ The impact of longevity and investment risk on a portfolio of life insurance liabilities ⋮ Assessing the solvency of insurance portfolios via a continuous-time cohort model ⋮ Age-specific copula-AR-GARCH mortality models ⋮ A Simple Linear Regression Approach to Modeling and Forecasting Mortality Rates
Cites Work
- Modeling and Forecasting U.S. Mortality
- Survival models in a dynamic context: a survey
- Estimating the term structure of mortality
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- Lee-Carter mortality forecasting with age-specific enhancement.
- Affine stochastic mortality
- Stochastic analysis in life office management: applications to large annuity portfolios
- Bootstrapping the Poisson log-bilinear model for mortality forecasting
- Uncertainty in mortality projections: an actuarial perspective
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
