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The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
16 references·5 citing·38 second hop
The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds (2015)The age pattern of transitory mortality j…Parametric mortality improvement rate modelling and projecting (2011)Parametric mortality improvem…Bayesian Stochastic Mortality Modelling for Two Populations (2011)Bayesian Stochastic Mortality…Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach (2009)Uncertainty in Mortality Fore…Securitization, structuring and pricing of longevity risk (2009)Securitization, structuring a…Modeling Mortality With Jumps: Applications to Mortality Securitization (2009)Modeling Mortality With Jumps…Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization (2006)Multivariate Exponential Tilt…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…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…Affine processes for dynamic mortality and actuarial valuations (2005)Affine processes for dynamic …Broken Limits to Life Expectancy (2002)Broken Limits to Life Expecta…Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality (2001)Evaluating the Performance of…The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000)The Minimal Entropy Martingal…A Simple Nonparametric Approach to Derivative Security Valuation (1996)A Simple Nonparametric Approa…Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…The impact of mortality shocks on modelling and insurance valuation as exemplified by COVID-19 (2022)The impact of mortality shock…Assessing the Impact of the COVID-19 Shock on a Stochastic Multi-Population Mortality Model (2022)Assessing the Impact of the C…A multi-parameter-level model for simulating future mortality scenarios with COVID-alike effects (2022)A multi-parameter-level model…Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds (2020)Transitory mortality jump mod…Pricing longevity derivatives via Fourier transforms (2020)Pricing longevity derivatives…The impact of heterogeneity in individual frailty on the dynamics of mortality (1979)Aging, Natural Death, and the Compression of Morbidity (1980)A Potential Decline in Life Expectancy in the United States in the 21st Century (2005)A Potential Decline in Life Expectancy in the United States in the 21st Century (2005)Ageing populations: the challenges ahead (2009)A universal pattern of mortality decline in the G7 countries (2000)Applying Lee-Carter under conditions of variable mortality decline (2002)Demographic forecasting: 1980 to 2005 in review (2006)Mortality Modelling and Forecasting: a Review of Methods (2008)Prices of State-Contingent Claims Implicit in Option Prices (1978)Options, Futures, and Other Derivative Securities. (1990)Implied Binomial Trees (1994)Pricing and hedging in incomplete markets (2001)Option valuation with conditional skewness (2005)A GARCH Option Pricing Model with Filtered Historical Simulation (2008)A cohort-based extension to the Lee–Carter model for mortality reduction factors (2006)A Gravity Model of Mortality Rates for Two Related Populations (2011)Longevity Hedging 101 (2011)Modelling Adult Mortality in Small Populations: The Saint Model (2011)The Hedging Performance of the New Futures Markets (1979)Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets (1993)On systematic mortality risk and risk-minimization with survivor swaps (2008)The New Life Market (2013)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)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)The Outlook for Population Growth (2011)Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models (2012)Exponential Hedging and Entropic Penalties (2002)The cumulant process and Esscher's change of measure (2002)Option pricing and Esscher transform under regime switching (2005)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)Mortality density forecasts: An analysis of six stochastic mortality models (2011)
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References

  • 2002Broken Limits to Life Expectancy2,818 cited
  • 1992Modeling and Forecasting U. S. Mortality2,311 cited
  • 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration891 cited
  • 2005Coherent mortality forecasts for a group of populations: An extension of the lee-carter method623 cited
  • 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets584 cited
  • 2001Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality523 cited
  • 1996A Simple Nonparametric Approach to Derivative Security Valuation372 cited
  • 2005Affine processes for dynamic mortality and actuarial valuations354 cited
  • 2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities273 cited
  • 2011Bayesian Stochastic Mortality Modelling for Two Populations230 cited
  • 2005Bootstrapping the Poisson log-bilinear model for mortality forecasting170 cited
  • 2009Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach155 cited
  • 2009Modeling Mortality With Jumps: Applications to Mortality Securitization124 cited
  • 2006Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization101 cited

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2009
Securitization, structuring and pricing of longevity risk
94 cited
  • 2011Parametric mortality improvement rate modelling and projecting90 cited
  • Cited by

    • 2020Pricing longevity derivatives via Fourier transforms28 cited
    • 2022The impact of mortality shocks on modelling and insurance valuation as exemplified by COVID-1919 cited
    • 2022A multi-parameter-level model for simulating future mortality scenarios with COVID-alike effects11 cited
    • 2020Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds10 cited
    • 2022Assessing the Impact of the COVID-19 Shock on a Stochastic Multi-Population Mortality Model9 cited