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Assessing basis risk in index-based longevity swap transactions
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Assessing basis risk in index-based longevity swap transactions (2018)Assessing basis risk in index-based longe…A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES (2017)A COMPARATIVE STUDY OF TWO-PO…Pricing Standardized Mortality Securitizations: A Two‐Population Model With Transitory Jump Effects (2013)Pricing Standardized Mortalit…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 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…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)After VaR: The Theory, Estima…A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)A Two‐Factor Model for Stocha…Evaluating and extending the Lee–Carter model for mortality forecasting: Bootstrap confidence interval (2005)Evaluating and extending the …Coherent mortality forecasts for a group of populations: An extension of the lee-carter method (2005)Coherent mortality forecasts …Analysis of Financial Time Series (2002)Analysis of Financial Time Se…A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)A Poisson log-bilinear regres…Modeling and forecasting US sex differentials in mortality (1992)Modeling and forecasting US s…Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…On the use of Archimedean copulas for insurance modelling (2020)On the use of Archimedean cop…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)A Gravity Model of Mortality Rates for Two Related Populations (2011)The New Life Market (2013)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)A cohort-based extension to the Lee–Carter model for mortality reduction factors (2006)Modelling Adult Mortality in Small Populations: The Saint Model (2011)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)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)Mortality density forecasts: An analysis of six stochastic mortality models (2011)Multivariate Stochastic Volatility: A Review (2006)Metal volatility in presence of oil and interest rate shocks (2007)Modelling Nonlinear Economic Time Series (2010)
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69 cited
  • 2013Pricing Standardized Mortality Securitizations: A Two‐Population Model With Transitory Jump Effects67 cited
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    • 2020On the use of Archimedean copulas for insurance modelling28 cited