The impact of longevity and investment risk on a portfolio of life insurance liabilities
From MaRDI portal
Publication:2323648
DOI10.1007/s13385-018-0175-5zbMath1422.91325OpenAlexW2780642883WikidataQ129725640 ScholiaQ129725640MaRDI QIDQ2323648
An Chen, Anna Rita Bacinello, Pietro Millossovich
Publication date: 3 September 2019
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/20703/1/EAJ_submission_blind.pdf
Related Items
COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE ⋮ Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods
Cites Work
- Unnamed Item
- Modeling and Forecasting U.S. Mortality
- Longevity risk in pension annuities with exchange options: the effect of product design
- Affine processes for dynamic mortality and actuarial valuations
- The IASB insurance project for life insurance contracts: Impact on reserving methods and solvency requirements
- Market value of life insurance contracts under stochastic interest rates and default risk
- Default risk, bankruptcy procedures and the market value of life insurance liabilities
- Longevity risk in portfolios of pension annuities
- Point processes and queues. Martingale dynamics
- Valuation of guaranteed annuity conversion options.
- Theory of statistics
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- A Lévy process-based framework for the fair valuation of participating life insurance contracts
- Understanding, modelling and managing longevity risk: key issues and main challenges
- Modelling and management of mortality risk: a review
- Stochastic mortality under measure changes
This page was built for publication: The impact of longevity and investment risk on a portfolio of life insurance liabilities
