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ArticleMortality-dependent financial risk measures

Kevin Dowd2006

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Articlegreen2006

Mortality-dependent financial risk measures

Kevin Dowd · Andrew J. G. Cairns · David P. Blake

50 citations·0/0 files stored·Insurance Mathematics and Economics

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Insurance, Mortality, Demography, Risk Management Insurance and Financial Risk Management Probability and Risk Models

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References

2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration 1996Premium Calculation by Transforming the Layer Premium Density 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks 2005Measuring Market Risk 2001Survivor Bonds: Helping to Hedge Mortality Risk 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk 2004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts 2004Risk measures for the 21st century

Cited by

2006Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk 2015De-risking defined benefit plans 2015Modelling longevity bonds: Analysing the Swiss Re Kortis bond 2010Longevity Risk 2007Assessing Investment and Longevity Risks within Immediate Annuities 2010Longevity Risk Management for Life and Variable Annuities: Effectiveness of Static Hedging Using Longevity Bonds and Derivatives

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2006Longevity Bonds: Financial Engineering, Valuation, and Hedgingarticle · 8 shared references 2011Calibrating affine stochastic mortality models using term assurance premiumsarticle · 7 shared references 2010On the robustness of longevity risk pricingarticle · 7 shared references 2014Longevity Risk and Capital Markets: The 2012–2013 Updatearticle · 7 shared references 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Riskarticle · 6 shared references 2009Modeling Mortality With Jumps: Applications to Mortality Securitizationarticle · 6 shared references

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Year2006

Typearticle

Published2006-01-05

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations50

Files0 public / 0

ShelfInsurance, Mortality, Demography, Risk Management

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doi10.1016/j.insmatheco.2005.11.003

openalex_workW2097529072

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2010Valuation of equity-indexed annuity under stochastic mortality and interest rate

2011A Subordinated Markov Model for Stochastic Mortality