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Comonotonic approximations to quantiles of life annuity conditional expected present value
16 references·3 citing·41 second hop
Comonotonic approximations to quantiles of life annuity conditional expected present value (2007)Comonotonic approximations to quantiles o…Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting (2007)Smoothing the Lee–Carter and …Demographic forecasting: 1980 to 2005 in review (2006)Demographic forecasting: 1980…Bootstrapping the Poisson log-bilinear model for mortality forecasting (2005)Bootstrapping the Poisson log…Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Actuarial Theory for Dependen…Survival models in a dynamic context: a survey (2004)Survival models in a dynamic …Projecting Mortality Trends (2004)Projecting Mortality TrendsThe concept of comonotonicity in actuarial science and finance: theory (2002)The concept of comonotonicity…The concept of comonotonicity in actuarial science and finance: applications (2002)The concept of comonotonicity…Measuring the longevity risk in mortality projections (2002)Measuring the longevity risk …Applying Lee-Carter under conditions of variable mortality decline (2002)Applying Lee-Carter under con…A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)A Poisson log-bilinear regres…A Poisson log-bilinear approach to the construction of projected lifetables (2002)A Poisson log-bilinear approa…Upper and lower bounds or sum of random variables (2000)Upper and lower bounds or sum…The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications (2000)The Lee-Carter Method for For…Optimal reinsurance and stop-loss order (1998)Optimal reinsurance and stop-…Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…Lifetime dependence modelling using a truncated multivariate gamma distribution (2013)Lifetime dependence modelling…Longevity Risk and Natural Hedge Potential in Portfolios of Life Insurance Products: The Effect of Investment Risk (2011)Longevity Risk and Natural He…Calculating Capital Requirements for Longevity Risk in Life Insurance Products Using an Internal Model in Line with Solvency II (2009)Calculating Capital Requireme…Essays in the Theory of Risk-Bearing. (1972)The Pricing of Options and Corporate Liabilities (1973)An Introduction to Copulas (1999)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)Copulas: A Personal View (2009)The Advent of Copulas in Finance (2009)Martingales and arbitrage in multiperiod securities markets (1979)Option pricing: A simplified approach (1979)Financial valuation of guaranteed minimum withdrawal benefits (2005)Risk measures and comonotonicity (2006)Constructing Uncertainty Sets for Robust Linear Optimization (2009)Regional Model Life Tables and Stable Populations (1983)Lee–Carter mortality forecasting with age-specific enhancement (2003)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)American Economic Review (2019)The age pattern of mortality (1980)Applied Mathematical Demography (2005)Mortality density forecasts: An analysis of six stochastic mortality models (2011)Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models (2012)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions (2006)World Population Prospects The 2006 Revision (2007)Bayesian probabilistic population projections for all countries (2012)Mapping of climate vulnerability of the coastal region of Bangladesh using principal component analysis (2018)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)The value of an Asian option (1995)Dependency of Risks and Stop-Loss Order (1996)A Reexamination of the Relationship Between Preferences and Moment Orderings by Rational Risk-Averse Investors (1998)Pricing of arithmetic basket options by conditioning (2004)Risk aggregation with dependence uncertainty (2013)Value‐at‐Risk Bounds With Variance Constraints (2015)Broken Limits to Life Expectancy (2002)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)A Bayesian forecasting model: predicting U.S. male mortality (2006)Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee‐Carter Framework (2007)Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach (2009)A cohort-based extension to the Lee–Carter model for mortality reduction factors (2006)Mortality Modelling and Forecasting: a Review of Methods (2008)A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)
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References

  • 1992Modeling and Forecasting U. S. Mortality2,311 cited
  • 2002A Poisson log-bilinear regression approach to the construction of projected lifetables727 cited
  • 2002The concept of comonotonicity in actuarial science and finance: theory634 cited
  • 2005Actuarial Theory for Dependent Risks: Measures, Orders and Models498 cited
  • 2002Applying Lee-Carter under conditions of variable mortality decline455 cited
  • 2000The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications411 cited
  • 2002The concept of comonotonicity in actuarial science and finance: applications398 cited
  • 2006Demographic forecasting: 1980 to 2005 in review343 cited
  • 2000Upper and lower bounds or sum of random variables190 cited
  • 2005Bootstrapping the Poisson log-bilinear model for mortality forecasting170 cited
  • 2004Survival models in a dynamic context: a survey137 cited
  • 2007Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting127 cited
  • 2004Projecting Mortality Trends94 cited
  • 2002Measuring the longevity risk in mortality projections92 cited
  • 1998Optimal reinsurance and stop-loss order84 cited

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  • 2002A Poisson log-bilinear approach to the construction of projected lifetables57 cited
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    • 2009Calculating Capital Requirements for Longevity Risk in Life Insurance Products Using an Internal Model in Line with Solvency II19 cited
    • 2011Longevity Risk and Natural Hedge Potential in Portfolios of Life Insurance Products: The Effect of Investment Risk18 cited
    • 2013Lifetime dependence modelling using a truncated multivariate gamma distribution17 cited