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A new defined benefit pension risk measurement methodology
14 references·0 citing·43 second hop
A new defined benefit pension risk measurement methodology (2015)A new defined benefit pension risk measur…Pension Risk Management in the Enterprise Risk Management Framework (2016)Pension Risk Management in th…National Association of Insurance Commissioners (2016)National Association of Insur…Modeling and Management of Longevity Risk (2014)Modeling and Management of Lo…Managing Capital Market and Longevity Risks in a Defined Benefit Pension Plan (2013)Managing Capital Market and L…Enterprise Risk Management Through Strategic Allocation of Capital (2011)Enterprise Risk Management Th…On the pricing of longevity-linked securities (2009)On the pricing of longevity-l…Mortality risk modeling: Applications to insurance securitization (2009)Mortality risk modeling: Appl…Modeling Mortality With Jumps: Applications to Mortality Securitization (2009)Modeling Mortality With Jumps…Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee‐Carter Framework (2007)Securitization of Longevity R…Mean–variance optimization problems for an accumulation phase in a defined benefit plan (2007)Mean–variance optimization pr…Securitization of Mortality Risks in Life Annuities (2005)Securitization of Mortality R…Society of Actuaries (2004)Society of ActuariesA Poisson log-bilinear regression approach to the construction of projected lifetables (2002)A Poisson log-bilinear regres…Capital Allocation for Insurance Companies (2001)Capital Allocation for Insura…On the Nature of the Function Expressive of the Law of Human Mortality (1977)Understanding Relationships Using Copulas (1998)Pricing of Ratchet equity-indexed annuities under stochastic interest rates (2006)Is Weight Loss Hazardous? (2009)On recursive evaluation of mixed poisson probabilities and related quantities (2011)Life Cycle, Individual Thrift, and the Wealth of Nations (1986)Premium Calculation by Transforming the Layer Premium Density (1996)New Evidence on the Money's Worth of Individual Annuities (1999)Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Modelling and management of mortality risk: a review (2008)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pricing and capital allocation in catastrophe insurance (2002)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)Risk Management, Capital Budgeting, and Capital Structure Policy for Insurers and Reinsurers (2007)Modeling and Forecasting U. S. Mortality (1992)The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications (2000)Inequality Among World Citizens: 1820–1992 (2002)Mortality Regimes and Pricing (2011)Longevity/Mortality Risk Modeling and Securities Pricing (2012)The New Life Market (2013)PORTFOLIO SELECTION* (1952)Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints (1963)Learning to organise risk management in organisations: what future for enterprise risk management? (2013)The Combined Effect of Enterprise Risk Management and Diversification on Property and Casualty Insurer Performance (2016)Organizational resilience as a key property of enterprise risk management in response to novel and severe crisis events (2023)Uncertain Lifetime, Life Insurance, and the Theory of the Consumer (1965)Coherent Measures of Risk (1999)Dynamic Asset Pricing Theory. (1993)Brownian Motion and Stochastic Calculus (2007)Modeling and forecasting mortality rates (2013)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)TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN (2018)A cohort-based extension to the Lee–Carter model for mortality reduction factors (2006)Mortality Modelling and Forecasting: a Review of Methods (2008)A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)Investment Income and Profit Margins in Property-Liability Insurance: Theory and Empirical Results (1987)Coverage of Obesity Treatment: A State-by-State Analysis of Medicaid and State Insurance Laws (2010)Quantifying uncertainty and variable sensitivity within the US billion-dollar weather and climate disaster cost estimates (2015)
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References

  • 2002A Poisson log-bilinear regression approach to the construction of projected lifetables727 cited
  • 2005Securitization of Mortality Risks in Life Annuities304 cited
  • 2001Capital Allocation for Insurance Companies286 cited
  • 2016National Association of Insurance Commissioners208 cited
  • 2007Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee‐Carter Framework147 cited
  • 2004Society of Actuaries132 cited
  • 2009On the pricing of longevity-linked securities131 cited
  • 2009Modeling Mortality With Jumps: Applications to Mortality Securitization124 cited
  • 2009Mortality risk modeling: Applications to insurance securitization87 cited
  • 2011Enterprise Risk Management Through Strategic Allocation of Capital59 cited
  • 2007Mean–variance optimization problems for an accumulation phase in a defined benefit plan41 cited
  • 2013Managing Capital Market and Longevity Risks in a Defined Benefit Pension Plan37 cited
  • 2016Pension Risk Management in the Enterprise Risk Management Framework27 cited
  • 2014Modeling and Management of Longevity Risk11 cited

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