SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Mortality Modeling With Non‐Gaussian Innovations and Applications to the Valuation of Longevity Swaps
16 references·4 citing·32 second hop
Mortality Modeling With Non‐Gaussian Innovations and Applications to the Valuation of Longevity Swaps (2013)Mortality Modeling With Non‐Gaussian Inno…A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)A Quantitative Comparison of …Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee‐Carter Framework (2007)Securitization of Longevity R…Survivor Swaps (2006)Survivor SwapsA Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)A Two‐Factor Model for Stocha…A cohort-based extension to the Lee–Carter model for mortality reduction factors (2006)A cohort-based extension to t…Securitization of Mortality Risks in Life Annuities (2005)Securitization of Mortality R…Affine processes for dynamic mortality and actuarial valuations (2005)Affine processes for dynamic …Survival models in a dynamic context: a survey (2004)Survival models in a dynamic …Lee–Carter mortality forecasting with age-specific enhancement (2003)Lee–Carter mortality forecast…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)A Poisson log-bilinear regres…Survivor Bonds: Helping to Hedge Mortality Risk (2001)Survivor Bonds: Helping to He…A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)A Class of Distortion Operato…The normal inverse gaussian lévy process: simulation and approximation (1997)The normal inverse gaussian l…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION (2019)ANALYZING MORTALITY BOND INDE…Modeling Multicountry Longevity Risk With Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach (2017)Modeling Multicountry Longevi…Age-specific copula-AR-GARCH mortality models (2015)Age-specific copula-AR-GARCH …Longevity Risk and Capital Markets: The 2012–2013 Update (2014)Longevity Risk and Capital Ma…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)The variation of certain speculative prices (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Copulas for Finance - A Reading Guide and Some Applications (2007)An Intertemporal Capital Asset Pricing Model (1973)The valuation of options for alternative stochastic processes (1976)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Risk measures and comonotonicity (2006)Constructing Uncertainty Sets for Robust Linear Optimization (2009)A universal pattern of mortality decline in the G7 countries (2000)The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications (2000)Demographic forecasting: 1980 to 2005 in review (2006)On Stochastic Mortality Modeling (2009)Theory of Rational Option Pricing (1973)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Theory of rational option pricing (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)A Theory of the Term Structure of Interest Rates (1985)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)Broken Limits to Life Expectancy (2002)Projections of Global Mortality and Burden of Disease from 2002 to 2030 (2006)Forecasting life expectancy, years of life lost, and all-cause and cause-specific mortality for 250 causes of death: reference and alternative scenarios for 2016–40 for 195 countries and territories (2018)Mortality Modelling and Forecasting: a Review of Methods (2008)Mortality density forecasts: An analysis of six stochastic mortality models (2011)Modelling and management of mortality risk: a review (2008)Bayesian Stochastic Mortality Modelling for Two Populations (2011)
this work references cited by second hop

References

  • 1992Modeling and Forecasting U. S. Mortality2,311 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration891 cited
  • 2006A cohort-based extension to the Lee–Carter model for mortality reduction factors734 cited
  • 2002A Poisson log-bilinear regression approach to the construction of projected lifetables727 cited
  • 2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States662 cited
  • 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 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
  • 2005Securitization of Mortality Risks in Life Annuities304 cited
  • 1997The normal inverse gaussian lévy process: simulation and approximation284 cited
  • 2006Survivor Swaps158 cited
  • 2007Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee‐Carter Framework

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

147 cited
  • 2004Survival models in a dynamic context: a survey137 cited
  • Cited by

    • 2015Age-specific copula-AR-GARCH mortality models26 cited
    • 2017Modeling Multicountry Longevity Risk With Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach25 cited
    • 2014Longevity Risk and Capital Markets: The 2012–2013 Update16 cited
    • 2019ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION16 cited