Stochastic portfolio specific mortality and the quantification of mortality basis risk

DOI10.1016/j.insmatheco.2009.05.002zbMath1231.91226OpenAlexW3121383629MaRDI QIDQ659104

Richard Plat

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.05.002

zbMATH Keywords

longevity riskSolvency 2stochastic mortality modelsmortality basis riskportfolio specific mortality

Mathematics Subject Classification ID

Related Items (27)

Basis risk modelling: a cointegration-based approach ⋮ Coherent modeling of male and female mortality using Lee-Carter in a complex number framework ⋮ A credibility approach of the Makeham mortality law ⋮ Socio-economic differentiation in experienced mortality modelling and its pricing implications ⋮ COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH ⋮ MODELLING MORTALITY FOR PENSION SCHEMES ⋮ A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES ⋮ A BAYESIAN JOINT MODEL FOR POPULATION AND PORTFOLIO-SPECIFIC MORTALITY ⋮ Tail index-linked annuity: A longevity risk sharing retirement plan ⋮ A partial internal model for longevity risk ⋮ Cohort extensions of the Poisson common factor model for modelling both genders jointly ⋮ Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ A stochastic model for mortality rate on italian data ⋮ A more meaningful parameterization of the Lee-Carter model ⋮ Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Parametric mortality indexes: from index construction to hedging strategies ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ An Efficient Method for Mitigating Longevity Value-at-Risk ⋮ On the effectiveness of natural hedging for insurance companies and pension plans ⋮ THE SAINT MODEL: A DECADE LATER ⋮ Longevity hedge effectiveness: a decomposition

Cites Work

• Modeling and Forecasting U.S. Mortality
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Principal component analysis.
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Modelling Adult Mortality in Small Populations: The Saint Model
• Smoothing and forecasting mortality rates
• Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
• Market Value of Liabilities Mortality Risk

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