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Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging
16 references·10 citing·22 second hop
Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging (2011)Modelling and management of longevity ris…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…Modelling Adult Mortality in Small Populations: The Saint Model (2011)Modelling Adult Mortality in …Measuring Basis Risk in Longevity Hedges (2011)Measuring Basis Risk in Longe…Bayesian Stochastic Mortality Modelling for Two Populations (2011)Bayesian Stochastic Mortality…A Gravity Model of Mortality Rates for Two Related Populations (2011)A Gravity Model of Mortality …Stochastic Portfolio Specific Mortality and the Quantification of Mortality Basis Risk (2009)Stochastic Portfolio Specific…Stochastic Mortality: The Impact on Target Capital (2009)Stochastic Mortality: The Imp…A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)A Quantitative Comparison of …On systematic mortality risk and risk-minimization with survivor swaps (2008)On systematic mortality risk …Modelling and management of mortality risk: a review (2008)Modelling and management of m…Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Pricing Death: Frameworks for…Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (2006)Living with Mortality: Longev…A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)A Two‐Factor Model for Stocha…Coherent mortality forecasts for a group of populations: An extension of the lee-carter method (2005)Coherent mortality forecasts …Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK (2016)THE LOCALLY LINEAR CAIRNS–BLA…Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization (2016)Semicoherent Multipopulation …It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk (2016)It’s all in the hidden states…Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis From Technical and Economic Perspectives (2016)Dynamic Longevity Hedging in …MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE (2015)MODELING LONGEVITY RISK WITH …De-risking defined benefit plans (2015)De-risking defined benefit pl…Parametric mortality indexes: From index construction to hedging strategies (2014)Parametric mortality indexes:…A Value-at-Risk framework for longevity trend risk (2013)A Value-at-Risk framework for…A partial internal model for longevity risk (2013)A partial internal model for …A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks (2011)A Computationally Efficient A…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Longevity Hedging 101 (2011)The New Life Market (2013)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Longevity Bonds: Financial Engineering, Valuation, and Hedging (2006)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)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)The Hedging Performance of the New Futures Markets (1979)Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets (1993)Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization (2006)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)Mortality density forecasts: An analysis of six stochastic mortality models (2011)Understanding, modelling and managing longevity risk: key issues and main challenges (2010)
this work references cited by second hop

References

  • 1992Modeling and Forecasting U. S. Mortality2,311 cited
  • 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration891 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
  • 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk344 cited
  • 2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities273 cited
  • 2008Modelling and management of mortality risk: a review254 cited
  • 2011Bayesian Stochastic Mortality Modelling for Two Populations230 cited
  • 2011Measuring Basis Risk in Longevity Hedges222 cited
  • 2011A Gravity Model of Mortality Rates for Two Related Populations153 cited
  • 2011Modelling Adult Mortality in Small Populations: The Saint Model120 cited
  • 2008On systematic mortality risk and risk-minimization with survivor swaps97 cited
  • 2009Stochastic Portfolio Specific Mortality and the Quantification of Mortality Basis Risk69 cited
  • 2012Key Q-Duration: A Framework for Hedging Longevity Risk61 cited
  • 2011

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One-year Value-at-Risk for longevity and mortality
60 cited
  • 2009Stochastic Mortality: The Impact on Target Capital50 cited
  • Cited by

    • 2015De-risking defined benefit plans48 cited
    • 2011A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks41 cited
    • 2013A Value-at-Risk framework for longevity trend risk40 cited
    • 2016Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization35 cited
    • 2016Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis From Technical and Economic Perspectives27 cited
    • 2016THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK25 cited
    • 2014Parametric mortality indexes: From index construction to hedging strategies23 cited
    • 2013A partial internal model for longevity risk19 cited
    • 2016It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk16 cited
    • 2015MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE15 cited