Longevity risk in pension annuities with exchange options: the effect of product design

DOI10.1016/j.insmatheco.2009.09.005zbMath1231.91241OpenAlexW1976943021MaRDI QIDQ659212

Ralph Stevens, Anja De Waegenaere, Bertrand Melenberg

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.2009.09.005

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Unnamed Item
• Modeling and Forecasting U.S. Mortality
• Longevity risk in portfolios of pension annuities
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Lee-Carter mortality forecasting with age-specific enhancement.
• Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
• Pension Plan Valuation and Mortality Projection
• Uncertainty in mortality projections: an actuarial perspective

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