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Longevity/Mortality Risk Modeling and Securities Pricing

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References

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2006Longevity Bonds: Financial Engineering, Valuation, and Hedging179 cited
2007Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee‐Carter Framework147 cited
2003On the forecasting of mortality reduction factors146 cited
2009On the pricing of longevity-linked securities131 cited
2009Modeling Mortality With Jumps: Applications to Mortality Securitization

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124 cited

2009Stochastic mortality under measure changes102 cited

Cited by

2013The New Life Market111 cited
2013Pricing Standardized Mortality Securitizations: A Two‐Population Model With Transitory Jump Effects67 cited
2015The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds28 cited
2013Incorporating Longevity Risk and Medical Information Into Life Settlement Pricing27 cited
2016Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis From Technical and Economic Perspectives27 cited
2016Health State Transitions and Longevity Effects on Retirees’ Optimal Annuitization25 cited
2015Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated25 cited
2014Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform23 cited
2012The Cost of Counterparty Risk and Collateralization in Longevity Swaps22 cited
2022The impact of mortality shocks on modelling and insurance valuation as exemplified by COVID-1919 cited
2018Mortality effects of economic fluctuations in selected eurozone countries18 cited
2011Longevity Risk and Capital Markets17 cited
2018A comparative study of pricing approaches for longevity instruments17 cited
2014The Longevity Prospects of Australian Seniors: An Evaluation of Forecast Method and Outcome16 cited
2014Longevity Risk and Capital Markets: The 2012–2013 Update16 cited
2019ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION16 cited