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Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives
16 references·0 citing·43 second hopsampled
Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives (2019)Managing Systematic Mortality Risk in Lif…The New Life Market (2013)The New Life MarketLongevity hedge effectiveness: a decomposition (2013)Longevity hedge effectiveness…Delta–Gamma hedging of mortality and interest rate risk (2012)Delta–Gamma hedging of mortal…Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging (2011)Modelling and management of l…Measuring Basis Risk in Longevity Hedges (2011)Measuring Basis Risk in Longe…Longevity risk, retirement savings, and financial innovation (2011)Longevity risk, retirement sa…Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives (2011)Longevity risk management for…Pricing guaranteed minimum withdrawal benefits under stochastic interest rates (2010)Pricing guaranteed minimum wi…On the pricing of longevity-linked securities (2009)On the pricing of longevity-l…Mortality risk via affine stochastic intensities: calibration and empirical relevance (2008)Mortality risk via affine sto…Longevity risk in portfolios of pension annuities (2007)Longevity risk in portfolios …Longevity Bonds: Financial Engineering, Valuation, and Hedging (2006)Longevity Bonds: Financial En…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…Survivor Bonds: A Comment on Blake and Burrows (2003)Survivor Bonds: A Comment on …Survivor Bonds: Helping to Hedge Mortality Risk (2001)Survivor Bonds: Helping to He…Modeling and Forecasting U. S. Mortality (1992)Broken Limits to Life Expectancy (2002)Parametric mortality indexes: From index construction to hedging strategies (2014)Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated (2015)The Power of Standards (2019)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)Longevity Hedging 101 (2011)Premium Calculation by Transforming the Layer Premium Density (1996)Risk management, capital budgeting, and capital structure policy for financial institutions: An integrated approach (1998)A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)Lifecycle Portfolio Choice With Systematic Longevity Risk and Variable Investment—Linked Deferred Annuities (2013)Household Finance (2021)The Family as an Incomplete Annuities Market (1979)New Evidence on the Money's Worth of Individual Annuities (1999)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Uncertainty and the Evaluation of Public Investment Decisions (2013)The Econometrics of Financial Markets (1997)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Deterministic shock vs. stochastic value-at-risk — an analysis of the Solvency II standard model approach to longevity risk (2010)Inter- and Intra-generational Consequences of Pension Buffer Policy under Demographic, Financial, and Economic Shocks (2010)Longevity Risk in Notional Defined Contribution Pension Schemes: A Solution (2015)A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)A cohort-based extension to the Lee–Carter model for mortality reduction factors (2006)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)Martingales and arbitrage in multiperiod securities markets (1979)The equity premium: A puzzle (1985)Brownian Motion and Stochastic Calculus (2007)Modelling and management of mortality risk: a review (2008)Understanding, modelling and managing longevity risk: key issues and main challenges (2010)Consumption Over the Life Cycle (2002)Baby Boomer retirement security: The roles of planning, financial literacy, and housing wealth (2007)Population ageing: the timebomb that isn't? (2013)Time is money: Rational life cycle inertia and the delegation of investment management (2016)Statistical analysis of cointegration vectors (1988)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Individual post-retirement longevity risk management under systematic mortality risk (2012)Managing Systematic Mortality Risk With Group Self‐Pooling and Annuitization Schemes (2012)Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk (2015)
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References

  • 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration891 cited
  • 2001Survivor Bonds: Helping to Hedge Mortality Risk350 cited
  • 2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities273 cited
  • 2011Measuring Basis Risk in Longevity Hedges222 cited
  • 2006Longevity Bonds: Financial Engineering, Valuation, and Hedging179 cited
  • 2011Longevity risk, retirement savings, and financial innovation151 cited
  • 2009On the pricing of longevity-linked securities131 cited
  • 2013The New Life Market111 cited
  • 2011Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives108 cited
  • 2007Longevity risk in portfolios of pension annuities105 cited
  • 2013Longevity hedge effectiveness: a decomposition85 cited
  • 2008Mortality risk via affine stochastic intensities: calibration and empirical relevance82 cited
  • 2003Survivor Bonds: A Comment on Blake and Burrows67 cited
  • 2010Pricing guaranteed minimum withdrawal benefits under stochastic interest rates64 cited
  • 2012Delta–Gamma hedging of mortality and interest rate risk

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61 cited
  • 2011Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging50 cited
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