Stochastic portfolio specific mortality and the quantification of mortality basis risk
type: Item
instance of: scholarly article
title: Stochastic portfolio specific mortality and the quantification of mortality basis risk
zbMATH Open document ID: 1231.91226
author: Richard Plat
published in: Insurance Mathematics \& Economics
publication date: 2012-02-10T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6004625
zbMATH Keywords: portfolio specific mortality
zbMATH Keywords: stochastic mortality models
zbMATH Keywords: mortality basis risk
zbMATH Keywords: longevity risk
zbMATH Keywords: Solvency 2
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2009.05.002
OpenAlex ID: W3121383629
cites work: A Poisson log-bilinear regression approach to the construction of projected lifetables.
cites work: Smoothing and forecasting mortality rates
cites work: Valuation and hedging of life insurance liabilities with systematic mortality risk
cites work: Modelling adult mortuality in small populations the saint model
cites work: Principal component analysis.
cites work: Modeling and Forecasting U.S. Mortality
cites work: A cohort-based extension to the Lee-Carter model for mortality reduction factors
cites work: Market Value of Liabilities Mortality Risk
cites work: Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
DOI: 10.1016/J.INSMATHECO.2009.05.002
description: scientific article; zbMATH DE number 6004625