Longevity risk and capital markets: the 2015--16 update

DOI10.1016/j.insmatheco.2017.10.002zbMath1384.00062OpenAlexW3045935275MaRDI QIDQ1697233

No author found.

Publication date: 15 February 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.10.002

zbMATH Keywords

longevity riskcapital marketsstochastic mortality modelsbuy-insbuy-outslongevity swaps

Mathematics Subject Classification ID

Related Items (2)

A dynamic equivalence principle for systematic longevity risk management ⋮ Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables

Cites Work

• Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting
• Natural Hedging of Life and Annuity Mortality Risks
• Securitization of Longevity Risk in Reverse Mortgages
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• Bootstrapping the Poisson log-bilinear model for mortality forecasting
• Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers
• Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform
• The CBD Mortality Indexes: Modeling and Applications
• Systematic and Nonsystematic Mortality Risk in Pension Portfolios
• Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk
• Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
• A Cautionary Note on Natural Hedging of Longevity Risk
• A General Procedure for Constructing Mortality Models
• Detecting Common Longevity Trends by a Multiple Population Approach
• Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II
• On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England
• Gender Convergence in Human Survival and the Postponement of Death
• Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions
• A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages
• Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds
• Unnamed Item
• Modeling and Forecasting U.S. Mortality
• Identification of the age-period-cohort model and the extended chain-ladder model
• A Bayesian forecasting model: predicting U.S. male mortality
• Parametric mortality improvement rate modelling and projecting
• The stratified sampling bootstrap for measuring the uncertainty in mortality forecasts
• Love and death: a Freund model with frailty
• Modelling longevity bonds: analysing the Swiss Re Kortis bond
• Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
• Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach
• Prospective mortality tables: taking heterogeneity into account
• A step-by-step guide to building two-population stochastic mortality models
• Multi-population mortality models: a factor copula approach
• A common age effect model for the mortality of multiple populations
• The choice of sample size for mortality forecasting: a Bayesian learning approach
• Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach
• Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
• A new defined benefit pension risk measurement methodology
• De-risking defined benefit plans
• Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
• Optimal retirement income tontines
• Robustness and convergence in the Lee-Carter model with cohort effects
• A dynamic parameterization modeling for the age-period-cohort mortality
• A recursive approach to mortality-linked derivative pricing
• Stochastic portfolio specific mortality and the quantification of mortality basis risk
• On age-period-cohort parametric mortality rate projections
• On stochastic mortality modeling
• On the pricing of longevity-linked securities
• Longevity bond premiums: the extreme value approach and risk cubic pricing
• A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
• Securitization, structuring and pricing of longevity risk
• Securitizing and tranching longevity exposures
• Evaluating the advanced life deferred annuity -- an annuity people might actually buy
• Longevity risk in pension annuities with exchange options: the effect of product design
• On the optimal product mix in life insurance companies using conditional value at risk
• Mortality risk modeling: applications to insurance securitization
• Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models
• An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation
• Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
• Evaluating the goodness of fit of stochastic mortality models
• On the robustness of longevity risk pricing
• Affine processes for dynamic mortality and actuarial valuations
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• Bayesian Poisson log-bilinear mortality projections
• Identification and forecasting in mortality models
• Valuation of the interest rate guarantee embedded in defined contribution pension plans
• Assessing the cost of capital for longevity risk
• Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
• Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
• Quadratic stochastic intensity and prospective mortality tables
• The role of longevity bonds in optimal portfolios
• Estimating the term structure of mortality
• On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
• A parameterized approach to modeling and forecasting mortality
• Annuitization and asset allocation
• Mortality derivatives and the option to annuitise.
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Lee-Carter mortality forecasting with age-specific enhancement.
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• It takes two: why mortality trend modeling is more than modeling one mortality trend
• Longevity bond pricing under stochastic interest rate and mortality with regime-switching
• Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
• Calibrating affine stochastic mortality models using term assurance premiums
• Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality
• Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
• Forecasting mortality in subpopulations using Lee-Carter type models: a comparison
• An index for longevity risk transfer
• Multidimensional Lee-Carter model with switching mortality processes
• Pricing and securitization of multi-country longevity risk with mortality dependence
• Modeling and forecasting mortality rates
• Optimal retirement consumption with a stochastic force of mortality
• Modelling and projecting mortality improvement rates using a cohort perspective
• Modelling dependent data for longevity projections
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
• Parametric mortality indexes: from index construction to hedging strategies
• Life-cycle asset allocation with annuity markets
• Key Q-Duration: A Framework for Hedging Longevity Risk
• Extending the Lee–Carter model: a three-way decomposition
• Understanding, modelling and managing longevity risk: key issues and main challenges
• Longevity hedge effectiveness: a decomposition
• Modelling Adult Mortality in Small Populations: The Saint Model
• Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach
• Modelling and management of mortality risk: a review
• Optimal Annuity Risk Management*
• Stochastic mortality under measure changes
• Hedging Longevity Risk When Interest Rates are Uncertain
• A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks
• A Gravity Model of Mortality Rates for Two Related Populations
• Measuring Basis Risk in Longevity Hedges
• Mortality Regimes and Pricing
• Forecasting with the age-period-cohort model and the extended chain-ladder model
• Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• The impact of multiple structural changes on mortality predictions
• Quantifying mortality risk in small defined-benefit pension schemes
• Rethinking age-period-cohort mortality trend models
• Pricingq-forward contracts: an evaluation of estimation window and pricing method under different mortality models
• On fitting generalized linear and non-linear models of mortality
• Smoothing and forecasting mortality rates

This page was built for publication: Longevity risk and capital markets: the 2015--16 update