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Annuity Uncertainty with Stochastic Mortality and Interest Rates
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Annuity Uncertainty with Stochastic Mortality and Interest Rates (2013)Annuity Uncertainty with Stochastic Morta…A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)A Quantitative Comparison of …A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)A Two‐Factor Model for Stocha…The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case (2005)The fair valuation problem of…Interest Rate Models (2004)Interest Rate ModelsLee–Carter mortality forecasting with age-specific enhancement (2003)Lee–Carter mortality forecast…Guaranteed Annuity Options (2003)Guaranteed Annuity OptionsA 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…Mortality derivatives and the option to annuitise (2001)Mortality derivatives and the…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…Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter (1999)Estimating and Testing Expone…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Actuarial Mathematics (1990)Actuarial MathematicsThe Modern Rise of Population (1977)Grandmothers and the evolution of human longevity (2003)Mortality Modelling and Forecasting: a Review of Methods (2008)The Family as an Incomplete Annuities Market (1979)New Evidence on the Money's Worth of Individual Annuities (1999)Law, Politics and Life Insurance Consumption in Asia (2002)Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (2006)Survivor Swaps (2006)Uncertainty and the Evaluation of Public Investment Decisions (2013)The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications (2000)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)On Stochastic Mortality Modeling (2009)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)A cohort-based extension to the Lee–Carter model for mortality reduction factors (2006)Modelling and management of mortality risk: a review (2008)Bayesian Stochastic Mortality Modelling for Two Populations (2011)Applying Lee-Carter under conditions of variable mortality decline (2002)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)Mortality density forecasts: An analysis of six stochastic mortality models (2011)
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References

  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1992Modeling and Forecasting U. S. Mortality2,311 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration891 cited
  • 2002A Poisson log-bilinear regression approach to the construction of projected lifetables727 cited
  • 2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States662 cited
  • 2000A universal pattern of mortality decline in the G7 countries532 cited
  • 2001Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality523 cited
  • 2003Lee–Carter mortality forecasting with age-specific enhancement397 cited
  • 2001Survivor Bonds: Helping to Hedge Mortality Risk350 cited
  • 2001Mortality derivatives and the option to annuitise314 cited
  • 1999Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter267 cited
  • 1990Actuarial Mathematics234 cited
  • 2003Guaranteed Annuity Options143 cited
  • 2005The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case

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141 cited
  • 2004Interest Rate Models140 cited
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