On the robustness of longevity risk pricing

DOI10.1016/j.insmatheco.2010.08.002zbMath1231.91426OpenAlexW2055032742MaRDI QIDQ661262

Lin Zhao, Bingzheng Chen, Lihong Zhang

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.2010.08.002

zbMATH Keywords

robustnesslongevity riskWang transformrisk-neutral methodSharpe ratio rule

Mathematics Subject Classification ID

Related Items (9)

Longevity risk and capital markets: the 2015--16 update ⋮ Valuation of longevity-linked life annuities ⋮ Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans ⋮ Regime-switching pure jump processes and applications in the valuation of mortality-linked products ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Market pricing of longevity-linked securities

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