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Securitization, Structuring and Pricing of Longevity Risk
16 references·2 citing·37 second hop
Securitization, Structuring and Pricing of Longevity Risk (2011)Securitization, Structuring and Pricing o…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Valuation and hedging of life…Structured Credit Portfolio Analysis, Baskets and CDOs (2006)Structured Credit Portfolio A…Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Pricing Death: Frameworks for…Longevity Bonds: Financial Engineering, Valuation, and Hedging (2006)Longevity Bonds: Financial En…The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case (2005)The fair valuation problem of…Securitization of Mortality Risks in Life Annuities (2005)Securitization of Mortality R…Securitization of Life Insurance Assets and Liabilities (2005)Securitization of Life Insura…Affine processes for dynamic mortality and actuarial valuations (2005)Affine processes for dynamic …Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts (2004)Stochastic mortality in life …A Universal Framework for Pricing Financial and Insurance Risks (2002)A Universal Framework for Pri…Survivor Bonds: Helping to Hedge Mortality Risk (2001)Survivor Bonds: Helping to He…Age-time interactions in mortality projection: Applying Lee-Carter to Australia (2001)Age-time interactions in mort…Pricing Risk Transfer Transactions (2000)Pricing Risk Transfer Transac…Premium Calculation by Transforming the Layer Premium Density (1996)Premium Calculation by Transf…Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach (2014)A generalized pricing framewo…Pricing Mortality Securities With Correlated Mortality Indexes (2012)Pricing Mortality Securities …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)Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (2006)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)Survivor Swaps (2006)Uncertainty and the Evaluation of Public Investment Decisions (2013)Dynamic Asset Pricing Theory. (1993)Brownian Motion and Stochastic Calculus (2007)On Stochastic Mortality Modeling (2009)Numerical solution of stochastic differential equations (2016)Life Cycle, Individual Thrift, and the Wealth of Nations (1986)Modelling and management of mortality risk: a review (2008)Pricing Interest-Rate-Derivative Securities (1990)Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives (2011)Longevity risk, retirement savings, and financial innovation (2011)The New Life Market (2013)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Tail Variance Premium with Applications for Elliptical Portfolio of Risks (2006)On the pricing of longevity-linked securities (2009)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)A theory of anticipated utility (1982)The Dual Theory of Choice under Risk (1987)Axiomatic characterization of insurance prices (1997)Stochastic Processes for Insurance and Finance (1999)A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non Mean Reverting Affine Processes for Stochastic Mortality (2005)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)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)
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References

  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1992Modeling and Forecasting U. S. Mortality2,311 cited
  • 1996Premium Calculation by Transforming the Layer Premium Density696 cited
  • 2005Affine processes for dynamic mortality and actuarial valuations354 cited
  • 2001Survivor Bonds: Helping to Hedge Mortality Risk350 cited
  • 2004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts344 cited
  • 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk344 cited
  • 2005Securitization of Mortality Risks in Life Annuities304 cited
  • 2002A Universal Framework for Pricing Financial and Insurance Risks257 cited
  • 2006Valuation and hedging of life insurance liabilities with systematic mortality risk234 cited
  • 2005Securitization of Life Insurance Assets and Liabilities217 cited
  • 2006Longevity Bonds: Financial Engineering, Valuation, and Hedging179 cited
  • 2000Pricing Risk Transfer Transactions144 cited
  • 2005The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case141 cited
  • 2006Structured Credit Portfolio Analysis, Baskets and CDOs

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74 cited
  • 2001Age-time interactions in mortality projection: Applying Lee-Carter to Australia33 cited
  • Cited by

    • 2012Pricing Mortality Securities With Correlated Mortality Indexes42 cited
    • 2014A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach31 cited