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Modeling and Management of Longevity Risk
16 references·1 citing·16 second hop
Modeling and Management of Longevity Risk (2014)Modeling and Management of Longevity RiskMortality density forecasts: An analysis of six stochastic mortality models (2011)Mortality density forecasts: …Measuring Basis Risk in Longevity Hedges (2011)Measuring Basis Risk in Longe…Bayesian 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…Robust forecasting of mortality and fertility rates: A functional data approach (2006)Robust forecasting of mortali…Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Pricing Death: Frameworks for…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…A cohort-based extension to the Lee–Carter model for mortality reduction factors (2006)A cohort-based extension to t…Coherent mortality forecasts for a group of populations: An extension of the lee-carter method (2005)Coherent mortality forecasts …The Cohort Effect: Insights and Explanations (2004)The Cohort Effect: Insights a…Smoothing and forecasting mortality rates (2004)Smoothing and forecasting mor…Applying Lee-Carter under conditions of variable mortality decline (2002)Applying Lee-Carter under con…A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)A Poisson log-bilinear regres…Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…A new defined benefit pension risk measurement methodology (2015)A new defined benefit pension…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)Longevity Bonds: Financial Engineering, Valuation, and Hedging (2006)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)The age pattern of mortality (1980)Applied Mathematical Demography (2005)Demographic forecasting: 1980 to 2005 in review (2006)Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models (2012)Broken Limits to Life Expectancy (2002)The Outlook for Population Growth (2011)Time Series Analysis: Forecasting and Control (1977)A state space framework for automatic forecasting using exponential smoothing methods (2002)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)
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References

  • 1992Modeling and Forecasting U. S. Mortality2,311 cited
  • 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration891 cited
  • 2006A cohort-based extension to the Lee–Carter model for mortality reduction factors734 cited
  • 2002A Poisson log-bilinear regression approach to the construction of projected lifetables727 cited
  • 2006Robust forecasting of mortality and fertility rates: A functional data approach675 cited
  • 2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States662 cited
  • 2005Coherent mortality forecasts for a group of populations: An extension of the lee-carter method623 cited
  • 2002Applying Lee-Carter under conditions of variable mortality decline455 cited
  • 2004Smoothing and forecasting mortality rates452 cited
  • 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk344 cited
  • 2011Mortality density forecasts: An analysis of six stochastic mortality models292 cited
  • 2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities273 cited
  • 2008Modelling and management of mortality risk: a review254 cited
  • 2011Bayesian Stochastic Mortality Modelling for Two Populations230 cited

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  • 2011Measuring Basis Risk in Longevity Hedges222 cited
  • 2004The Cohort Effect: Insights and Explanations184 cited
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    • 2015A new defined benefit pension risk measurement methodology15 cited