Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk

DOI10.1016/j.insmatheco.2015.02.004zbMath1318.91126OpenAlexW2093122871WikidataQ58295290 ScholiaQ58295290MaRDI QIDQ2347055

Uditha Balasooriya, Bowen Yang, Jackie Li

Publication date: 26 May 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.02.004

zbMATH Keywords

longevity riskmaximum entropy methodbootstrappingmodel errorrisk-neutral pricing

Mathematics Subject Classification ID

Related Items (10)

MODELLING MORTALITY FOR PENSION SCHEMES ⋮ Green nested simulation via likelihood ratio: applications to longevity risk management ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Unnamed Item ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know? ⋮ On the Structure and Classification of Mortality Models ⋮ Market pricing of longevity-linked securities

Uses Software

• Human Mortality

Cites Work

• Unnamed Item
• Unnamed Item
• Modeling and Forecasting U.S. Mortality
• A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
• Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform
• Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
• Bayesian Poisson log-bilinear mortality projections
• On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
• Key Q-Duration: A Framework for Hedging Longevity Risk
• Application of Markov Chain Monte Carlo Methods to Projecting Cancer Incidence and Mortality
• Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
• Smoothing and forecasting mortality rates
• Using the Lee-Carter Method to Forecast Mortality for Populations with Limited Data*
• 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
• The CBD Mortality Indexes: Modeling and Applications
• A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages
• On Information and Sufficiency
• A discussion of parameter and model uncertainty in insurance

This page was built for publication: Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk