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Mortality risk modeling: Applications to insurance securitization

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2013The New Life Market111 cited
2011Mortality Regimes and Pricing83 cited
2012Longevity/Mortality Risk Modeling and Securities Pricing79 cited
2013Pricing Standardized Mortality Securitizations: A Two‐Population Model With Transitory Jump Effects

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67 cited

2009Longevity bond premiums: The extreme value approach and risk cubic pricing64 cited

2015De-risking defined benefit plans48 cited

2016It’s not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events42 cited

2012Pricing Mortality Securities With Correlated Mortality Indexes42 cited

2013Managing Capital Market and Longevity Risks in a Defined Benefit Pension Plan37 cited

2013On the mortality/longevity risk hedging with mortality immunization30 cited

2015The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds28 cited

2020Pricing longevity derivatives via Fourier transforms28 cited

2016Pension Risk Management in the Enterprise Risk Management Framework27 cited

2014Coherent mortality forecasting with generalized linear models: A modified time-transformation approach23 cited

2016Incorporating the Bühlmann credibility into mortality models to improve forecasting performances22 cited

2012The Cost of Counterparty Risk and Collateralization in Longevity Swaps22 cited