Mortality Regimes and Pricing

DOI10.1080/10920277.2011.10597621zbMath1228.91043OpenAlexW3122670998MaRDI QIDQ3107268

Yijia Lin, Andreas Milidonis, S. H. jun. Cox

Publication date: 21 December 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2011.10597621

Mathematics Subject Classification ID

Related Items (28)

Stochastic Mortality Models and Pandemic Shocks ⋮ Hedging pure endowments with mortality derivatives ⋮ THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK ⋮ Modeling pandemic mortality risk and its application to mortality-linked security pricing ⋮ The impact of multiple structural changes on mortality predictions ⋮ Mortality regimes and longevity risk in a life annuity portfolio ⋮ Lifetime asset allocation with idiosyncratic and systematic mortality risks ⋮ Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality ⋮ Multidimensional Lee-Carter model with switching mortality processes ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Pension risk management with funding and buyout options ⋮ Valuation of longevity-linked life annuities ⋮ Modeling trend processes in parametric mortality models ⋮ Incorporating structural changes in mortality improvements for mortality forecasting ⋮ Regime-switching pure jump processes and applications in the valuation of mortality-linked products ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Mortality modelling with regime-switching for the valuation of a guaranteed annuity option ⋮ De-risking defined benefit plans ⋮ Optimal Risk Classification with an Application to Substandard Annuities ⋮ Regime-switching shot-noise processes and longevity bond pricing ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk ⋮ It takes two: why mortality trend modeling is more than modeling one mortality trend ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes ⋮ Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing

Cites Work

• A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
• Securitization, structuring and pricing of longevity risk
• Mortality risk modeling: applications to insurance securitization
• Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• Pricing exotic options under regime switching
• Securitization of catastrophe mortality risks
• A Markov model for switching regressions
• Autoregressive conditional heteroskedasticity and changes in regime
• Mortality derivatives and the option to annuitise.
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
• Tax-Deductible Pre-Event Catastrophe Loss Reserves: The Case of Florida
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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