Mortality

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  • Norbert Hári, Anja De Waegenaere, Bertrand Melenberg, Theo E. Nijman, 2008, "Longevity risk in portfolios of pension annuities", Insurance: Mathematics & Economics, 2008- Volume 42 p. 505
  • Jennifer L Wang, Hong-Chih Huang, Sharon S. Yang, Jeffrey T. Tsai, 2010, "AN OPTIMAL PRODUCT MIX FOR HEDGING LONGEVITY RISK IN LIFE INSURANCE COMPANIES, THE IMMUNIZATION THEORY APPROACH", Journal of Risk and Insurance, 2010- Volume 77 p. 473 (25 pages)
  • Adam Creighton, Henry Hongbo Jin, John Piggott, Emiliano A. Valdez, 2005, "LONGETIVITY Insurance, A MISSING MARKET", The Singapore Economic Review, 2005- Volume 50 p. 417
  • Erhan Bayraktar, Dr. Moshe A. Milevsky, S. David Promislow, Virginia R. Young, 2009, "Valuation of mortality risk via the instantaneous Sharpe ratio, Applications to life annuities", Journal of Economic Dynamics & Control, 2009- Volume 33 p. 676
  • Dana Goldman, Pierre-Carl Michaud, Darius Lakdawalla, Yuhui Zheng, 2010, "THE FISCAL CONSEQUENCES OF TRENDS IN POPULATION HEALTH", National Tax Journal, 2010- Volume 63 p. 307 (24 pages)
  • Andrew J. G. Cairns, David Blake, Kevin Dowd, 2006, "A TWO-FACTOR MODEL FOR STOCHASTIC MORTALITY WITH PARAMETER UNCERTAINTY, THEORY AND CALIBRATION", Journal of Risk and Insurance, 2006- Volume 73 p. 687 (32 pages)
  • Michel Denuit, Pierre Devolder, Anne-Cécile Goderniaux, 2007, "SECURITIZATION OF LONGEVITY RISK, PRICING SURVIVOR BONDS WITH WANG TRANSFORM IN THE LEE-CARTER FRAMEWORK", Journal of Risk and Insurance, 2007- Volume 74 p. 87 (27 pages)
  • Sharon S. Yang, Jack C. Yue, Hong-Chih Huang, 2010, "Modeling longevity risks using a principal component approach, A comparison with existing stochastic mortality models", Insurance: Mathematics & Economics, 2010- Volume 46 p. 254
  • Samuel H. Cox, Yijia Lin, Hal Pedersen, 2010, "Mortality risk modeling, Applications to insurance securitization", Insurance: Mathematics & Economics, 2010- Volume 46 p. 242
  • A. Debón, F. Montes, F. Puig, 2008, "Modelling and forecasting mortality in Spain", European Journal of Operational Research, 2008- Volume 189 p. 624
  • Hong Mao, Krzysztof M. Ostaszewski, Yuling Wang, 2008, "Risk Analysis of Mortality Improvement, The Case of Chinese Annuity Markets", Geneva Papers on Risk and Insurance, 2008- Volume 33 p. 234
  • Mr. David Blanchett, Mr. Brian Blanchett, 2008, "Joint Life Expectancy and the Retirement Distribution Period", Journal of Financial Planning, 2008-Dec
  • A. E. Renshaw, Steven Haberman, 2008, "On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling", Insurance: Mathematics & Economics, 2008- Volume 42 p. 797
  • Sharon S. Yang, Hong-Chih Huang, 2009, "The Impact of Longevity Risk on the Optimal Contribution Rate and Asset Allocation for Defined Contribution Pension Plans", Geneva Papers on Risk and Insurance, 2009- Volume 34 p. 660
  • Hyuk-Sung Kwon, Bruce L. Jones, 2006, "The impact of the determinants of mortality on life Insurance, and annuities", Insurance: Mathematics & Economics, 2006- Volume 38 p. 271
  • Angus Macdonald, Kenneth McIvor, 2010, "Pensions and genetics, can longevity genes be reliable risk factors for annuity pricing?", Scandinavian Actuarial Journal, 2010- Volume 2010 p. 1
  • Huaxiong Huang, Dr. Moshe A. Milevsky, 2008, "Portfolio choice and mortality-contingent claims, The general HARA case", Journal of Banking & Finance, 2008- Volume 32 p. 2444
  • Hugo Benítez-Silva, Huan Ni, 2008, "Health status and health dynamics in an empirical model of expected longevity", Journal of Health Economics, 2008- Volume 27 p. 564
  • Roman N. Schulze, Thomas Post, 2010, "INDIVIDUAL ANNUITY DEMAND UNDER AGGREGATE MORTALITY RISK", Journal of Risk and Insurance, 2010- Volume 77 p. 423 (27 pages)
  • Steven Haberman, A. E. Renshaw, 2009, "Measurement of Longevity Risk Using Bootstrapping for Lee-Carter and Generalised Linear Poisson Models of Mortality", Methodology and Computing in Applied Probability, 2009- Volume 11 p. 443 (19 pages)
  • Steven Haberman, Arthur Renshaw, 2008, "Mortality, longevity and experiments with the Lee-Carter model", Lifetime Data Analysis, 2008- Volume 14 p. 286 (30 pages)
  • Sebnem Kalemli-Ozcan, David N. Weil, 2010, "Mortality change, the uncertainty effect, and retirement", Journal of Economic Growth, 2010- Volume 15 p. 65
  • Charles A. Stone, Anne Zissu, 2009, "Delta Hedging IO Securities Backed by Senior Life Settlements", Journal of Structured Finance, 2009- Volume 15 p. 93 (9 pages)
  • David Blake, 2006, "Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities", British Actuarial Journal, 2006- Volume 12 p. 153-197
  • Hans J. Blommestein, 2006, "Factors for a successful market in longevity-indexed government bonds, A public debt management perspective", Pensions: An International Journal, 2006- Volume 11 p. 113 (7 pages)
  • James E. Ciecka, 2008, "Edmond Halley's Life Table and Its Uses*", Journal of Legal Economics, 2008- Volume 15 p. 65 (11 pages)
  • Richard Plat, 2009, "Stochastic portfolio specific mortality and the quantification of mortality basis risk", Insurance: Mathematics & Economics, 2009- Volume 45 p. 123
  • Doug Andrews, Robert Edward, Holzmann Palmer, 2009, "Pension Reform, Issues and Prospects for Non-Financial Defined Contribution (NDC) Schemes", Journal of Pension Economics and Finance, 2009- Volume 8 p. 244 (3 pages)
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