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Measuring Basis Risk in Longevity Hedges
13 references·16 citing·26 second hop
Measuring Basis Risk in Longevity Hedges (2011)Measuring Basis Risk in Longevity HedgesA Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)A Quantitative Comparison of …Modelling and management of mortality risk: a review (2008)Modelling and management of m…A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)A Two‐Factor Model for Stocha…Securitization of Mortality Risks in Life Annuities (2005)Securitization of Mortality R…Coherent mortality forecasts for a group of populations: An extension of the lee-carter method (2005)Coherent mortality forecasts …A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)A Poisson log-bilinear regres…On the Scale of Global Demographic Convergence 1950–2000 (2001)On the Scale of Global Demogr…A universal pattern of mortality decline in the G7 countries (2000)A universal pattern of mortal…Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH (2017)COHERENT FORECASTING OF MORTA…A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES (2017)A COMPARATIVE STUDY OF TWO-PO…Phantoms Never Die: Living with Unreliable Population Data (2015)Phantoms Never Die: Living wi…Forecasting mortality in subpopulations using Lee–Carter type models: A comparison (2015)Forecasting mortality in subp…On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England (2014)On the Modeling and Forecasti…Multi-Population Mortality Models: A Factor Copula Approach (2014)Multi-Population Mortality Mo…Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II (2014)Modeling Period Effects in Mu…The New Life Market (2013)The New Life MarketRobust Hedging of Longevity Risk (2013)Robust Hedging of Longevity R…Pricing Standardized Mortality Securitizations: A Two‐Population Model With Transitory Jump Effects (2013)Pricing Standardized Mortalit…Longevity hedge effectiveness: a decomposition (2013)Longevity hedge effectiveness…Pricing and securitization of multi-country longevity risk with mortality dependence (2012)Pricing and securitization of…Key Q-Duration: A Framework for Hedging Longevity Risk (2012)Key Q-Duration: A Framework f…One-year Value-at-Risk for longevity and mortality (2011)One-year Value-at-Risk for lo…Longevity Hedging 101 (2011)Longevity Hedging 101A Gravity Model of Mortality Rates for Two Related Populations (2011)A Gravity Model of Mortality …The Modern Rise of Population (1977)Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality (2001)Grandmothers and the evolution of human longevity (2003)Mortality Modelling and Forecasting: a Review of Methods (2008)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Broken Limits to Life Expectancy (2002)Demographic forecasting: 1980 to 2005 in review (2006)The Outlook for Population Growth (2011)Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models (2012)A cohort-based extension to the Lee–Carter model for mortality reduction factors (2006)Bayesian Stochastic Mortality Modelling for Two Populations (2011)Projections of Global Mortality and Burden of Disease from 2002 to 2030 (2006)Forecasting life expectancy, years of life lost, and all-cause and cause-specific mortality for 250 causes of death: reference and alternative scenarios for 2016–40 for 195 countries and territories (2018)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Mortality density forecasts: An analysis of six stochastic mortality models (2011)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1992Modeling and Forecasting U. S. Mortality2,311 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration891 cited
  • 2002A Poisson log-bilinear regression approach to the construction of projected lifetables727 cited
  • 2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States662 cited
  • 2005Coherent mortality forecasts for a group of populations: An extension of the lee-carter method623 cited
  • 2000A universal pattern of mortality decline in the G7 countries532 cited
  • 2005Securitization of Mortality Risks in Life Annuities304 cited
  • 2001On the Scale of Global Demographic Convergence 1950–2000262 cited
  • 2008Modelling and management of mortality risk: a review254 cited

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  • 2011A Gravity Model of Mortality Rates for Two Related Populations153 cited

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  • 2011Longevity Hedging 101131 cited
  • 2014On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England111 cited
  • 2013The New Life Market111 cited
  • 2013Longevity hedge effectiveness: a decomposition85 cited
  • 2013Robust Hedging of Longevity Risk82 cited
  • 2014Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II73 cited
  • 2015Forecasting mortality in subpopulations using Lee–Carter type models: A comparison71 cited
  • 2012Pricing and securitization of multi-country longevity risk with mortality dependence69 cited
  • 2017A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES69 cited
  • 2013Pricing Standardized Mortality Securitizations: A Two‐Population Model With Transitory Jump Effects67 cited
  • 2014Multi-Population Mortality Models: A Factor Copula Approach65 cited
  • 2012Key Q-Duration: A Framework for Hedging Longevity Risk61 cited
  • 2017COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH60 cited
  • 2011One-year Value-at-Risk for longevity and mortality60 cited
  • 2015Phantoms Never Die: Living with Unreliable Population Data57 cited