Longevity risk and capital markets: the 2008-2009 update

DOI10.1016/j.insmatheco.2009.11.003zbMath1231.91002OpenAlexW3021444892MaRDI QIDQ659193

Anja De Waegenaere, David Blake, Richard D. MacMinn, Theo E. Nijman

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.2009.11.003

Mathematics Subject Classification ID

Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

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Cites Work

• Valuation and hedging of life insurance liabilities with systematic mortality risk
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• Estimating the term structure of mortality
• Mortality derivatives and the option to annuitise.
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• Natural Hedging of Life and Annuity Mortality Risks
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States