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Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities

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2008Mortality risk via affine stochastic intensities: calibration and empirical relevance82 cited

Cited by

2016Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits38 cited
2017Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method36 cited
2016Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality36 cited
2020Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?31 cited
2016Regional differences of standardised mortality rates for ischemic heart diseases in the Slovak Republic for the period 1996–2013 in the context of income inequality27 cited
2021Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging25 cited
2016Basis risk in static versus dynamic longevity-risk hedging20 cited
2018A comparative study of pricing approaches for longevity instruments17 cited
2018Cohort effects in mortality modelling: a Bayesian state-space approach13 cited