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A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks
11 references·3 citing·33 second hop
A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks (2011)A Computationally Efficient Algorithm for…Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging (2011)Modelling and management of l…Interest Rate Models An Introduction (2010)Interest Rate Models An Intro…A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)A Quantitative Comparison of …Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Pricing Death: Frameworks for…Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (2006)Living with Mortality: Longev…A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)A Two‐Factor Model for Stocha…Interest Rate Models (2004)Interest Rate ModelsSelection Effects in the United Kingdom Individual Annuities Market (2002)Selection Effects in the Unit…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The Analysis of Mortality and Other Actuarial Statistics. (1971)The Analysis of Mortality and…On Some Experiments in the Graduation of Mortality Statistics (1932)On Some Experiments in the Gr…Longevity Risk and Capital Markets: The 2012–2013 Update (2014)Longevity Risk and Capital Ma…The New Life Market (2013)The New Life MarketLife Annuities: An Optimal Product for Retirement Income (2013)Life Annuities: An Optimal Pr…An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Longevity Bonds: Financial Engineering, Valuation, and Hedging (2006)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Uncertain Lifetime, Life Insurance, and the Theory of the Consumer (1965)New Evidence on the Money's Worth of Individual Annuities (1999)Adverse Selection in Insurance Markets: Policyholder Evidence from the U.K. Annuity Market (2004)Multiple Dimensions of Private Information: Evidence from the Long-Term Care Insurance Market (2006)Testing for Adverse Selection in Insurance Markets (2009)Modeling and Forecasting U. S. Mortality (1992)Mortality density forecasts: An analysis of six stochastic mortality models (2011)The Hedging Performance of the New Futures Markets (1979)Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets (1993)Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization (2006)On systematic mortality risk and risk-minimization with survivor swaps (2008)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)A cohort-based extension to the Lee–Carter model for mortality reduction factors (2006)Modelling and management of mortality risk: a review (2008)Bayesian Stochastic Mortality Modelling for Two Populations (2011)Can Cheap Credit Explain the Housing Boom? (2010)A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients (2011)Linear‐Rational Term Structure Models (2016)Deceleration in the age pattern of mortality at olderages (1998)I NSECT B IODEMOGRAPHY (2001)An approach to the study of multiple state models (1984)Projecting Mortality Trends (2004)Components and possible determinants of decrease in Russian mortality in 2004-2010 (2013)A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING (2004)Dynamic Programming Models and Algorithms for the Mutual Fund Cash Balance Problem (2010)A General Framework for Time-Changed Markov Processes and Applications (2018)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration891 cited
  • 2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States662 cited
  • 2002Selection Effects in the United Kingdom Individual Annuities Market387 cited
  • 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk344 cited
  • 1932On Some Experiments in the Graduation of Mortality Statistics293 cited
  • 2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities273 cited
  • 2010Interest Rate Models An Introduction156 cited
  • 2004Interest Rate Models140 cited
  • 1971The Analysis of Mortality and Other Actuarial Statistics.133 cited
  • 2011Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging50 cited

Cited by

  • 2013The New Life Market111 cited
  • 2013Life Annuities: An Optimal Product for Retirement Income22 cited
  • 2014Longevity Risk and Capital Markets: The 2012–2013 Update16 cited

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