References

• 1988Statistical analysis of cointegration vectors17,038 cited
• 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
• 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration891 cited
• 1997Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis761 cited
• 2006A cohort-based extension to the Lee–Carter model for mortality reduction factors734 cited
• 2003Lee–Carter mortality forecasting with age-specific enhancement397 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
• 2008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities309 cited
• 2005Securitization of Mortality Risks in Life Annuities304 cited
• 2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities273 cited
• 2008Modelling and management of mortality risk: a review254 cited
• 2006Valuation and hedging of life insurance liabilities with systematic mortality risk234 cited