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Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk
16 references·6 citing·37 second hop
Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk (2006)Life is Cheap: Using Mortality Bonds to H…Annuities and Individual Welfare (2005)Annuities and Individual Welf…Smoothing and forecasting mortality rates (2004)Smoothing and forecasting mor…Lee–Carter mortality forecasting with age-specific enhancement (2003)Lee–Carter mortality forecast…Life Tables for the United States Social Security Area 1900-2100 (2002)Life Tables for the United St…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…Survivor Bonds: Helping to Hedge Mortality Risk (2001)Survivor Bonds: Helping to He…Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality (2001)Evaluating the Performance of…A universal pattern of mortality decline in the G7 countries (2000)A universal pattern of mortal…A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)A Class of Distortion Operato…The Market for Catastrophe Risk: A Clinical Examination (1999)The Market for Catastrophe Ri…New Evidence on the Money's Worth of Individual Annuities (1999)New Evidence on the Money's W…Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…The Consumption of Stockholders and Non-Stockholders (1990)The Consumption of Stockholde…In Search of Methuselah: Estimating the Upper Limits to Human Longevity (1990)In Search of Methuselah: Esti…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…Pricing longevity derivatives via Fourier transforms (2020)Pricing longevity derivatives…Annuitization and aggregate mortality risk (2020)Annuitization and aggregate m…The Market for Longevity Annuities (2016)The Market for Longevity Annu…Longevity Risk and Capital Markets: The 2012–2013 Update (2014)Longevity Risk and Capital Ma…Longevity Risk, Retirement Savings, and Financial Innovation (2011)Longevity Risk, Retirement Sa…Financial Education and Annuities (2009)Financial Education and Annui…The Modern Rise of Population (1977)Grandmothers and the evolution of human longevity (2003)Mortality Modelling and Forecasting: a Review of Methods (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Aging, Natural Death, and the Compression of Morbidity (1980)The Fourth Stage of the Epidemiologic Transition: The Age of Delayed Degenerative Diseases (1986)Trading Off Longer Life for Worsening Health (1991)Reductions in Mortality at Advanced Ages: Several Decades of Evidence from 27 Countries (1994)Evidence for a limit to human lifespan (2016)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Risk measures and comonotonicity (2006)Constructing Uncertainty Sets for Robust Linear Optimization (2009)Asset Prices in an Exchange Economy (1978)The equity premium: A puzzle (1985)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Strategic Asset Allocation (2002)Equity Portfolio Diversification (2008)Uncertain Lifetime, Life Insurance, and the Theory of the Consumer (1965)Sources of Advantageous Selection: Evidence from the Medigap Insurance Market (2008)WHAT GOOD IS WEALTH WITHOUT HEALTH? THE EFFECT OF HEALTH ON THE MARGINAL UTILITY OF CONSUMPTION (2008)Beyond Nudges : Tools of a Choice Architecture (2012)Demographic forecasting: 1980 to 2005 in review (2006)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)A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)Adverse Selection in Insurance Markets: Policyholder Evidence from the U.K. Annuity Market (2004)Pay Me Later: Inside Debt and Its Role in Managerial Compensation (2007)
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References

  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1992Modeling and Forecasting U. S. Mortality2,311 cited
  • 1990The Consumption of Stockholders and Non-Stockholders1,289 cited
  • 1999New Evidence on the Money's Worth of Individual Annuities795 cited
  • 2002A Poisson log-bilinear regression approach to the construction of projected lifetables727 cited
  • 2005Annuities and Individual Welfare715 cited
  • 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 cited
  • 1990In Search of Methuselah: Estimating the Upper Limits to Human Longevity644 cited
  • 2000A universal pattern of mortality decline in the G7 countries532 cited
  • 2001Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality523 cited
  • 1999The Market for Catastrophe Risk: A Clinical Examination519 cited
  • 2002Applying Lee-Carter under conditions of variable mortality decline455 cited
  • 2004Smoothing and forecasting mortality rates452 cited
  • 2002Life Tables for the United States Social Security Area 1900-2100445 cited
  • 2003Lee–Carter mortality forecasting with age-specific enhancement

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397 cited
  • 2001Survivor Bonds: Helping to Hedge Mortality Risk350 cited
  • Cited by

    • 2020Pricing longevity derivatives via Fourier transforms28 cited
    • 2016The Market for Longevity Annuities24 cited
    • 2009Financial Education and Annuities22 cited
    • 2011Longevity Risk, Retirement Savings, and Financial Innovation22 cited
    • 2020Annuitization and aggregate mortality risk20 cited
    • 2014Longevity Risk and Capital Markets: The 2012–2013 Update16 cited