Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model

DOI10.1080/10920277.2019.1652102zbMATH Open1461.91243OpenAlexW2781574055MaRDI QIDQ4987098

David Blake, Andrew J. G. Cairns, Kevin Dowd

Publication date: 28 April 2021

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

Full work available at URL: http://dro.dur.ac.uk/23775/1/23775.pdf

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• Title not available (Why is that?)
• Identifiability, cointegration and the gravity model
• A theory of the term structure of interest rates
• Longevity hedge effectiveness: a decomposition
• 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
• A discussion of parameter and model uncertainty in insurance

Related Items (2)

Longevity risk and capital markets: the 2019--20 update ⋮ Coping with longevity via hedging: fair dynamic valuation of variable annuities

Uses Software

• LifeMetrics

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