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Longevity Bonds: Financial Engineering, Valuation, and Hedging

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References

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2009A Quantitative Comparison of Stochastic Mortality Models Using Data from England & Wales and the United States112 cited
2013The New Life Market

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2011Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives108 cited

2009An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach102 cited

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2020Portfolio Choice Over the Life Cycle: A Survey68 cited

2009Longevity bond premiums: The extreme value approach and risk cubic pricing64 cited

2009Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models61 cited

2012Delta–Gamma hedging of mortality and interest rate risk61 cited

2009The logic of pension accounting55 cited

2011Analysis and Valuation of Insurance Companies51 cited