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A Cautionary Note on Natural Hedging of Longevity Risk
13 references·3 citing·33 second hop
A Cautionary Note on Natural Hedging of Longevity Risk (2014)A Cautionary Note on Natural Hedging of L…Modeling and Forecasting (2016)Modeling and ForecastingLongevity hedge effectiveness: a decomposition (2013)Longevity hedge effectiveness…Key Q-Duration: A Framework for Hedging Longevity Risk (2012)Key Q-Duration: A Framework f…Canonical Valuation of Mortality‐Linked Securities (2010)Canonical Valuation of Mortal…An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach (2009)An Optimal Product Mix for He…Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment (2007)Risk-neutral valuation of par…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…Hedging life insurance with pure endowments (2006)Hedging life insurance with p…A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)A Two‐Factor Model for Stocha…Insurance: Mathematics and Economics (2004)Insurance: Mathematics and Ec…Applying Lee-Carter under conditions of variable mortality decline (2002)Applying Lee-Carter under con…Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…Stochastic mortality dynamics driven by mixed fractional Brownian motion (2022)Stochastic mortality dynamics…NATURAL HEDGING IN LONG-TERM CARE INSURANCE (2017)NATURAL HEDGING IN LONG-TERM …Do actuaries believe in longevity deceleration? (2017)Do actuaries believe in longe…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)A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging (2011)The CBD Mortality Indexes: Modeling and Applications (2014)Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization (2016)Actuarial Mathematics. (1986)Explaining Mortality Dynamics (2011)The New Life Market (2013)On the Structure and Classification of Mortality Models (2015)The age pattern of mortality (1980)Applied Mathematical Demography (2005)Demographic forecasting: 1980 to 2005 in review (2006)Mortality density forecasts: An analysis of six stochastic mortality models (2011)Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models (2012)A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)Robust Hedging of Longevity Risk (2013)A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES (2017)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)On systematic mortality risk and risk-minimization with survivor swaps (2008)Analysis of high dimensional multivariate stochastic volatility models (2005)Pension Reform (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)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Models for construction of multivariate dependence – a comparison study (2008)
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References

  • 1992Modeling and Forecasting U. S. Mortality2,311 cited
  • 2004Insurance: Mathematics and Economics1,308 cited
  • 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration891 cited
  • 2002Applying Lee-Carter under conditions of variable mortality decline455 cited
  • 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk344 cited
  • 2016Modeling and Forecasting287 cited
  • 2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities273 cited
  • 2009An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach102 cited
  • 2013Longevity hedge effectiveness: a decomposition85 cited
  • 2012Key Q-Duration: A Framework for Hedging Longevity Risk61 cited
  • 2007Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment57 cited
  • 2010Canonical Valuation of Mortality‐Linked Securities36 cited
  • 2006Hedging life insurance with pure endowments35 cited

Cited by

  • 2022Stochastic mortality dynamics driven by mixed fractional Brownian motion18 cited
  • 2017Do actuaries believe in longevity deceleration?

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15 cited
  • 2017NATURAL HEDGING IN LONG-TERM CARE INSURANCE12 cited