Article2011

Longevity Risk and Capital Markets

David P. Blake · Patrick L. Brockett · Samuel H. Cox · Richard D. MacMinn

17 citations0/0 files storedNorth American Actuarial Journal

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Insurance, Mortality, Demography, Risk Management Insurance and Financial Risk Management Stochastic processes and financial applications

Abstract

This Special Issue of the North American Actuarial Journal contains ten contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity Five: the Fifth International Longevity Risk and Capital Markets Solutions Conference that was held in New York on 25-26 September 2009. It was hosted by J. P. Morgan and St John’s University and organized by the Pensions Institute at Cass Business School, London, and the Edmondson-Miller Chair at Illinois State University.

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References

2007World Population Prospects The 2006 Revision 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration 2006A cohort-based extension to the Lee–Carter model for mortality reduction factors 2002A Poisson log-bilinear regression approach to the construction of projected lifetables 2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States 2001Survivor Bonds: Helping to Hedge Mortality Risk 2004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts 2001Mortality derivatives and the option to annuitise

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