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Mortality-dependent financial risk measures

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References

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2006Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk85 cited
2010Deterministic shock vs. stochastic value-at-risk — an analysis of the Solvency II standard model approach to longevity risk

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2015De-risking defined benefit plans48 cited

2015Modelling longevity bonds: Analysing the Swiss Re Kortis bond44 cited

2010Longevity Risk42 cited

2007Assessing Investment and Longevity Risks within Immediate Annuities28 cited

2010Longevity Risk Management for Life and Variable Annuities: Effectiveness of Static Hedging Using Longevity Bonds and Derivatives27 cited

2010Valuation of equity-indexed annuity under stochastic mortality and interest rate24 cited

2011A Subordinated Markov Model for Stochastic Mortality20 cited

2010An additive stochastic model of mortality rates: An application to longevity risk in reserve evaluation18 cited

2020A Bayesian Approach to Modeling and Projecting Cohort Effects15 cited