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Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated
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Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated (2015)Managing Mortality Risk With Longevity Bo…Measuring Basis Risk in Longevity Hedges (2011)Measuring Basis Risk in Longe…Bayesian Stochastic Mortality Modelling for Two Populations (2011)Bayesian Stochastic Mortality…Survivor Swaps (2006)Survivor SwapsPricing 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…Affine stochastic mortality (2005)Affine stochastic mortalityAffine processes for dynamic mortality and actuarial valuations (2005)Affine processes for dynamic …Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Optimal hedging using cointegration (1999)Optimal hedging using cointeg…A Parametric Nonlinear Model of Term Structure Dynamics (1999)A Parametric Nonlinear Model …A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control (1989)The Internationalisation of S…Common Stochastic Trends in a System of Exchange Rates (1989)Common Stochastic Trends in a…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*BIAS-CORRECTED INFERENCE FOR A MODIFIED LEE–CARTER MORTALITY MODEL (2019)BIAS-CORRECTED INFERENCE FOR …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)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Comovements in national stock market returns: Evidence of predictability, but not cointegration (1995)Stock market linkages in emerging markets: implications for international portfolio diversification (2004)Stock prices and exchange rate dynamics (2005)Risk, Return, and Equilibrium: Empirical Tests (1973)Continuous Martingales and Brownian Motion (1999)The surprise element: jumps in interest rates (2002)A Monte Carlo Method for Optimal Portfolios (2003)Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)The Pricing of Options and Corporate Liabilities (1973)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Testing for a Unit Root in Time Series Regression (1988)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)Long memory processes and fractional integration in econometrics (1996)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)Brownian Motion and Stochastic Calculus (2007)On the pricing of longevity-linked securities (2009)Pricing and Hedging Spread Options (2003)A Benchmark Approach to Quantitative Finance (2006)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
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  • 1989Common Stochastic Trends in a System of Exchange Rates626 cited
  • 2005Affine processes for dynamic mortality and actuarial valuations354 cited
  • 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk344 cited
  • 1999A Parametric Nonlinear Model of Term Structure Dynamics335 cited
  • 1989The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control302 cited
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  • 2011Measuring Basis Risk in Longevity Hedges222 cited
  • 2005Affine stochastic mortality192 cited
  • 1999Optimal hedging using cointegration189 cited
  • 2006Longevity Bonds: Financial Engineering, Valuation, and Hedging179 cited
  • 2006

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Survivor Swaps
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  • 2019BIAS-CORRECTED INFERENCE FOR A MODIFIED LEE–CARTER MORTALITY MODEL11 cited