Securitizing and tranching longevity exposures
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Cites work
- A Liquidity-based Model of Security Design
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- A Walrasian Theory of Markets with Adverse Selection
- Evaluating the goodness of fit of stochastic mortality models
- Financial market innovation and security design: An introduction
- scientific article; zbMATH DE number 3348831 (Why is no real title available?)
- Incentive Compatibility in Signaling Games with a Continuum of Types
- Limited liability and incentive contracting with ex-ante action choices
- Multivariate monotone likelihood ratio and uniform conditional stochastic order
- Optimal risk sharing with background risk
- Point processes and queues. Martingale dynamics
- Pricing, hedging, and designing derivatives with risk measures
- Quadratic stochastic intensity and prospective mortality tables
- Theory of statistics
- Uniform stochastic ordering and related inequalities
Cited in
(14)- Longevity risk and capital markets: the 2015--16 update
- Longevity risk and capital markets: the 2019--20 update
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration
- Longevity risk management and shareholder value for a life annuity business
- Editorial: Longevity risk and capital markets: the 2013--14 update
- Longevity Risk and Capital Markets: The 2017–2018 Update
- Constructing out-of-the-money longevity hedges using parametric mortality indexes
- Longevity Risk and Capital Markets: The 2012–2013 Update
- Keeping some skin in the game: how to start a capital market in longevity risk transfers
- Securitization, structuring and pricing of longevity risk
- Long-range dependent mortality modeling with cointegration
- Avoiding a longevity catastrophe: harnessing longevity indices to mitigate individual, institutional and systemic longevity risks
- Contract structure and risk aversion in longevity risk transfers
- Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
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