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Parametric mortality indexes: From index construction to hedging strategies
16 references·0 citing·21 second hop
Parametric mortality indexes: From index construction to hedging strategies (2014)Parametric mortality indexes: From index …Mortality density forecasts: An analysis of six stochastic mortality models (2011)Mortality density forecasts: …Modelling Adult Mortality in Small Populations: The Saint Model (2011)Modelling Adult Mortality in …Measuring Basis Risk in Longevity Hedges (2011)Measuring Basis Risk in Longe…Longevity Hedging 101 (2011)Longevity Hedging 101Bayesian Stochastic Mortality Modelling for Two Populations (2011)Bayesian Stochastic Mortality…A Gravity Model of Mortality Rates for Two Related Populations (2011)A Gravity Model of Mortality …A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)A Quantitative Comparison of …Modelling and management of mortality risk: a review (2008)Modelling and management of m…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…Coherent mortality forecasts for a group of populations: An extension of the lee-carter method (2005)Coherent mortality forecasts …Bootstrapping the Poisson log-bilinear model for mortality forecasting (2005)Bootstrapping the Poisson log…Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…Using Age, Period and Cohort Models to Estimate Future Mortality Rates (1985)Using Age, Period and Cohort …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England (2014)The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications (2000)A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)A Bayesian forecasting model: predicting U.S. male mortality (2006)Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach (2009)Broken Limits to Life Expectancy (2002)Demographic forecasting: 1980 to 2005 in review (2006)The Outlook for Population Growth (2011)Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models (2012)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)Understanding, modelling and managing longevity risk: key issues and main challenges (2010)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)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)On Stochastic Mortality Modeling (2009)
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References

  • 1992Modeling and Forecasting U. S. Mortality2,311 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
  • 2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States662 cited
  • 2005Coherent mortality forecasts for a group of populations: An extension of the lee-carter method623 cited
  • 2011Mortality density forecasts: An analysis of six stochastic mortality models292 cited
  • 2008Modelling and management of mortality risk: a review254 cited
  • 2011Bayesian Stochastic Mortality Modelling for Two Populations230 cited
  • 2011Measuring Basis Risk in Longevity Hedges222 cited
  • 2005Bootstrapping the Poisson log-bilinear model for mortality forecasting170 cited
  • 2006Survivor Swaps158 cited
  • 2011A Gravity Model of Mortality Rates for Two Related Populations153 cited
  • 1985Using Age, Period and Cohort Models to Estimate Future Mortality Rates148 cited
  • 2007Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee‐Carter Framework147 cited
  • 2011

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Longevity Hedging 101
131 cited
  • 2011Modelling Adult Mortality in Small Populations: The Saint Model120 cited
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