Securitization of catastrophe mortality risks
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Recommendations
- Mortality risk modeling: applications to insurance securitization
- Mortality options: the point of view of an insurer
- Modeling and management of mortality risk: a review
- Price bounds of mortality-linked security in incomplete insurance market
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
Cites work
- A Universal Framework for Pricing Financial and Insurance Risks
- An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
- Modeling and forecasting U.S. mortality. (With discussion)
- Mortality derivatives and the option to annuitise.
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
Cited in
(44)- Pricing and securitization of multi-country longevity risk with mortality dependence
- Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds
- Fair valuations of insurance policies under multiple risk factors: a flexible lattice approach
- Heterogeneous expectations and speculative behavior in insurance-linked securities
- Downside risk management of a defined benefit plan considering longevity basis risk
- Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method
- Catastrophe risk bonds with applications to earthquakes
- Risk-Seeking Behavior and Its Implications for the Optimal Decision Making of Annuity Insurers
- A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
- Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
- Optimal strategies for target benefit pension plans with longevity risk in ambiguous environments
- Securitization of motor insurance loss rate risks
- Regime-switching pure jump processes and applications in the valuation of mortality-linked products
- Reinsurance versus securitization of catastrophe risk
- Pricing longevity-linked derivatives using a stochastic mortality model
- Dynamic hedging of longevity risk: the effect of trading frequency
- Analyzing mortality bond indexes via hierarchical forecast reconciliation
- Hedging longevity risk: does the structure of the financial instrument matter?
- Price bounds of mortality-linked security in incomplete insurance market
- Index insurance design
- CAT bond pricing under a product probability measure with pot risk characterization
- Mortality risk modeling: applications to insurance securitization
- Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality
- Impact of outlier-adjusted Lee-Carter model on the valuation of life annuities
- Measuring Basis Risk in Longevity Hedges
- Modeling pandemic mortality risk and its application to mortality-linked security pricing
- A comparative study of pricing approaches for longevity instruments
- Model-independent price bounds for catastrophic mortality bonds
- On the pricing of longevity-linked securities
- Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application
- De-risking defined benefit plans
- Multi-population mortality models: a factor copula approach
- The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
- Pricing extreme mortality risk in the wake of the COVID-19 pandemic
- Livestock mortality catastrophe insurance using fatal shock process
- Tail index-linked annuity: a longevity risk sharing retirement plan
- Catastrophe risk management with counterparty risk using alternative instruments
- Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform
- Longevity bond premiums: the extreme value approach and risk cubic pricing
- Pension risk management with funding and buyout options
- The choice of trigger in an insurance linked security: the mortality risk case
- Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing
- Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds
- Mortality regimes and pricing
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