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A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
15 references·16 citing·43 second hop
A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions (2009)A Bayesian approach to pricing longevity …On the pricing of longevity-linked securities (2009)On the pricing of longevity-l…Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee‐Carter Framework (2007)Securitization of Longevity R…A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)A Two‐Factor Model for Stocha…A Bayesian forecasting model: predicting U.S. male mortality (2006)A Bayesian forecasting model:…Securitization of Mortality Risks in Life Annuities (2005)Securitization of Mortality R…Bayesian Poisson log-bilinear mortality projections (2005)Bayesian Poisson log-bilinear…Measuring the longevity risk in mortality projections (2002)Measuring the longevity risk …A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)A Poisson log-bilinear regres…Mortality derivatives and the option to annuitise (2001)Mortality derivatives and the…A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)A Class of Distortion Operato…The Maximum Entropy Distribution of an Asset Inferred from Option Prices (1996)The Maximum Entropy Distribut…A Simple Nonparametric Approach to Derivative Security Valuation (1996)A Simple Nonparametric Approa…Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…Modeling and forecasting US sex differentials in mortality (1992)Modeling and forecasting US s…Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…Bayesian model averaging for mortality forecasting using leave-future-out validation (2022)Bayesian model averaging for …Advances in mortality forecasting: introduction (2018)Advances in mortality forecas…Probabilistic mortality forecasting with varying age-specific survival improvements (2017)Probabilistic mortality forec…A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting (2017)A unified approach to mortali…A multivariate evolutionary credibility model for mortality improvement rates (2016)A multivariate evolutionary c…Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk (2015)Using bootstrapping to incorp…The choice of sample size for mortality forecasting: A Bayesian learning approach (2015)The choice of sample size for…Bayesian Poisson log-bilinear models for mortality projections with multiple populations (2015)Bayesian Poisson log-bilinear…Multi-Population Mortality Models: A Factor Copula Approach (2014)Multi-Population Mortality Mo…A quantitative comparison of simulation strategies for mortality projection (2014)A quantitative comparison of …A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach (2014)A generalized pricing framewo…The New Life Market (2013)The New Life MarketPricing Mortality Securities With Correlated Mortality Indexes (2012)Pricing Mortality Securities …Living With Ambiguity: Pricing Mortality‐Linked Securities With Smooth Ambiguity Preferences (2012)Living With Ambiguity: Pricin…Pricing longevity risk with the parametric bootstrap: A maximum entropy approach (2010)Pricing longevity risk with t…A Bayesian Comparison of Models for Changing Mortalities toward Evaluating Longevity Risk in Japan (2009)A Bayesian Comparison of Mode…Life Cycle, Individual Thrift, and the Wealth of Nations (1986)Premium Calculation by Transforming the Layer Premium Density (1996)New Evidence on the Money's Worth of Individual Annuities (1999)Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Modelling and management of mortality risk: a review (2008)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Risk measures and comonotonicity (2006)Constructing Uncertainty Sets for Robust Linear Optimization (2009)Prices of State-Contingent Claims Implicit in Option Prices (1978)Options, Futures, and Other Derivative Securities. (1990)Implied Binomial Trees (1994)Pricing and hedging in incomplete markets (2001)Option valuation with conditional skewness (2005)A GARCH Option Pricing Model with Filtered Historical Simulation (2008)Time Series Analysis: Forecasting and Control (1977)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Causes of Male Excess Mortality: Insights from Cloistered Populations (2003)On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England (2014)Approximate option valuation for arbitrary stochastic processes (1982)Entropy densities with an application to autoregressive conditional skewness and kurtosis (2002)Testing the stability of implied probability density functions (2002)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)A Theory of the Term Structure of Interest Rates (1985)Pricing Interest-Rate-Derivative Securities (1990)Affine stochastic mortality (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)“Options, Futures, and Other Derivatives” (2016)Machine Learning for Financial Risk Management: A Survey (2020)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 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)Mortality density forecasts: An analysis of six stochastic mortality models (2011)
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References

  • 1992Modeling and Forecasting U. S. Mortality2,311 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
  • 1995Option pricing by Esscher transforms.651 cited
  • 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 cited
  • 1996A Simple Nonparametric Approach to Derivative Security Valuation372 cited
  • 1996The Maximum Entropy Distribution of an Asset Inferred from Option Prices331 cited
  • 2001Mortality derivatives and the option to annuitise314 cited
  • 2005Securitization of Mortality Risks in Life Annuities304 cited
  • 1992Modeling and forecasting US sex differentials in mortality181 cited
  • 2005Bayesian Poisson log-bilinear mortality projections162 cited
  • 2007Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee‐Carter Framework147 cited
  • 2006A Bayesian forecasting model: predicting U.S. male mortality141 cited
  • 2009On the pricing of longevity-linked securities131 cited
  • 2002Measuring the longevity risk in mortality projections

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92 cited

Cited by

  • 2013The New Life Market111 cited
  • 2014Multi-Population Mortality Models: A Factor Copula Approach65 cited
  • 2018Advances in mortality forecasting: introduction49 cited
  • 2010Pricing longevity risk with the parametric bootstrap: A maximum entropy approach46 cited
  • 2015Bayesian Poisson log-bilinear models for mortality projections with multiple populations46 cited
  • 2012Pricing Mortality Securities With Correlated Mortality Indexes42 cited
  • 2017A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting40 cited
  • 2014A quantitative comparison of simulation strategies for mortality projection38 cited
  • 2017Probabilistic mortality forecasting with varying age-specific survival improvements35 cited
  • 2015The choice of sample size for mortality forecasting: A Bayesian learning approach33 cited
  • 2014A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach31 cited
  • 2009A Bayesian Comparison of Models for Changing Mortalities toward Evaluating Longevity Risk in Japan29 cited
  • 2012Living With Ambiguity: Pricing Mortality‐Linked Securities With Smooth Ambiguity Preferences24 cited
  • 2022Bayesian model averaging for mortality forecasting using leave-future-out validation22 cited
  • 2016A multivariate evolutionary credibility model for mortality improvement rates18 cited
  • 2015Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk18 cited