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Hedging life insurance with pure endowments
4 references·5 citing·33 second hop
Hedging life insurance with pure endowments (2006)Hedging life insurance with pure endowmen…On the pricing of longevity-linked securities (2009)On the pricing of longevity-l…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Towards a General Theory of Good-Deal Bounds (2006)Towards a General Theory of G…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…On the effectiveness of natural hedging for insurance companies and pension plans (2015)On the effectiveness of natur…A Cautionary Note on Natural Hedging of Longevity Risk (2014)A Cautionary Note on Natural …Optimal commutable annuities to minimize the probability of lifetime ruin (2011)Optimal commutable annuities …On the robustness of longevity risk pricing (2010)On the robustness of longevit…Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio (2007)Pricing life insurance under …Modeling and Forecasting U. S. Mortality (1992)Insurance: Mathematics and Economics (2004)A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)Do actuaries believe in longevity deceleration? (2017)Stochastic mortality dynamics driven by mixed fractional Brownian motion (2022)Uncertain Lifetime, Life Insurance, and the Theory of the Consumer (1965)Stochastic Differential Equations: Theory and Applications. (1976)Stochastic Integration and Differential Equations (2005)Life Annuities: An Optimal Product for Retirement Income (2013)Minimizing the probability of lifetime drawdown under constant consumption (2016)Dynamic Asset Pricing Theory. (1993)Modeling Term Structures of Defaultable Bonds (1999)Longevity bond pricing under stochastic interest rate and mortality with regime-switching (2012)Longevity Risk and Capital Markets: The 2012–2013 Update (2014)Time Series Analysis: Forecasting and Control (1977)A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)Martingales and arbitrage in multiperiod securities markets (1979)The equity premium: A puzzle (1985)Understanding, modelling and managing longevity risk: key issues and main challenges (2010)The New Life Market (2013)TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN (2018)Option pricing when underlying stock returns are discontinuous (1976)Point Processes and Queues (1981)Limit Theorems for Stochastic Processes (1987)Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities (2008)Option Valuation with Conditional Heteroskedasticity and Nonnormality (2009)TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS (2011)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 2006Towards a General Theory of Good-Deal Bounds162 cited
  • 2009On the pricing of longevity-linked securities131 cited

Cited by

  • 2007Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio36 cited
  • 2011Optimal commutable annuities to minimize the probability of lifetime ruin33 cited
  • 2014A Cautionary Note on Natural Hedging of Longevity Risk29 cited
  • 2010On the robustness of longevity risk pricing24 cited
  • 2015On the effectiveness of natural hedging for insurance companies and pension plans15 cited

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