Kung, Ko-Lun; MacMinn, Richard D.; Kuo, Weiyu; Tsai, Chenghsien Jason Multi-population mortality modeling: when the data is too much and not enough. (English) Zbl 07487257 Insur. Math. Econ. 103, 41-55 (2022). MSC: 91G05 91D20 62P05 PDF BibTeX XML Cite \textit{K.-L. Kung} et al., Insur. Math. Econ. 103, 41--55 (2022; Zbl 07487257) Full Text: DOI OpenURL
Tan, Ken Seng; Weng, Chengguo; Zhang, Jinggong Optimal dynamic longevity hedge with basis risk. (English) Zbl 07422900 Eur. J. Oper. Res. 297, No. 1, 325-337 (2022). MSC: 90Bxx PDF BibTeX XML Cite \textit{K. S. Tan} et al., Eur. J. Oper. Res. 297, No. 1, 325--337 (2022; Zbl 07422900) Full Text: DOI OpenURL
Bozikas, Apostolos; Pitselis, Georgios Multi-population mortality modelling and forecasting: a hierarchical credibility regression approach. (English) Zbl 1479.91307 Eur. Actuar. J. 11, No. 1, 231-267 (2021). MSC: 91G05 91D20 62P05 PDF BibTeX XML Cite \textit{A. Bozikas} and \textit{G. Pitselis}, Eur. Actuar. J. 11, No. 1, 231--267 (2021; Zbl 1479.91307) Full Text: DOI OpenURL
Shapovalov, Vered; Landsman, Zinoviy; Makov, Udi Exchangeable mortality projection. (English) Zbl 1482.91189 Eur. Actuar. J. 11, No. 1, 113-133 (2021). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 91D20 PDF BibTeX XML Cite \textit{V. Shapovalov} et al., Eur. Actuar. J. 11, No. 1, 113--133 (2021; Zbl 1482.91189) Full Text: DOI OpenURL
Chang, Le; Shi, Yanlin Mortality forecasting with a spatially penalized smoothed VAR model. (English) Zbl 1471.91452 ASTIN Bull. 51, No. 1, 161-189 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{L. Chang} and \textit{Y. Shi}, ASTIN Bull. 51, No. 1, 161--189 (2021; Zbl 1471.91452) Full Text: DOI OpenURL
Bosserhoff, Frank; Stadje, Mitja Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting. (English) Zbl 1479.91306 Insur. Math. Econ. 100, 130-146 (2021). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 91G10 45K05 49L12 PDF BibTeX XML Cite \textit{F. Bosserhoff} and \textit{M. Stadje}, Insur. Math. Econ. 100, 130--146 (2021; Zbl 1479.91306) Full Text: DOI arXiv OpenURL
Li, Hong; Shi, Yanlin Forecasting mortality with international linkages: a global vector-autoregression approach. (English) Zbl 1471.91470 Insur. Math. Econ. 100, 59-75 (2021). MSC: 91G05 91D20 62P05 PDF BibTeX XML Cite \textit{H. Li} and \textit{Y. Shi}, Insur. Math. Econ. 100, 59--75 (2021; Zbl 1471.91470) Full Text: DOI OpenURL
Li, Jackie; Lee, Maggie; Guthrie, Simon A double common factor model for mortality projection using best-performance mortality rates as reference. (English) Zbl 1471.91471 ASTIN Bull. 51, No. 2, 349-374 (2021). MSC: 91G05 91D20 PDF BibTeX XML Cite \textit{J. Li} et al., ASTIN Bull. 51, No. 2, 349--374 (2021; Zbl 1471.91471) Full Text: DOI OpenURL
Blake, David (ed.); Cairns, Andrew J. G. (ed.) Longevity risk and capital markets: the 2019–20 update. (English) Zbl 07368206 Insur. Math. Econ. 99, 395-439 (2021). MSC: 00B25 92D25 PDF BibTeX XML Cite \textit{D. Blake} (ed.) and \textit{A. J. G. Cairns} (ed.), Insur. Math. Econ. 99, 395--439 (2021; Zbl 07368206) Full Text: DOI OpenURL
Li, Johnny Siu-Hang; Liu, Yanxin Recent declines in life expectancy: implication on longevity risk hedging. (English) Zbl 1465.91095 Insur. Math. Econ. 99, 376-394 (2021). MSC: 91G05 60H30 35Q91 PDF BibTeX XML Cite \textit{J. S. H. Li} and \textit{Y. Liu}, Insur. Math. Econ. 99, 376--394 (2021; Zbl 1465.91095) Full Text: DOI OpenURL
Kung, Ko-Lun; Liu, I-Chien; Wang, Chou-Wen Modeling and pricing longevity derivatives using Skellam distribution. (English) Zbl 1467.91143 Insur. Math. Econ. 99, 341-354 (2021). MSC: 91G05 91G20 62P05 PDF BibTeX XML Cite \textit{K.-L. Kung} et al., Insur. Math. Econ. 99, 341--354 (2021; Zbl 1467.91143) Full Text: DOI OpenURL
Börger, Matthias; Freimann, Arne; Ruß, Jochen A combined analysis of hedge effectiveness and capital efficiency in longevity hedging. (English) Zbl 1467.91132 Insur. Math. Econ. 99, 309-326 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{M. Börger} et al., Insur. Math. Econ. 99, 309--326 (2021; Zbl 1467.91132) Full Text: DOI OpenURL
Arnold, Séverine; Glushko, Viktoriya Cause-specific mortality rates: common trends and differences. (English) Zbl 1467.91127 Insur. Math. Econ. 99, 294-308 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{S. Arnold} and \textit{V. Glushko}, Insur. Math. Econ. 99, 294--308 (2021; Zbl 1467.91127) Full Text: DOI OpenURL
Zhou, Rui; Ji, Min Modelling mortality dependence: an application of dynamic vine copula. (English) Zbl 1467.91155 Insur. Math. Econ. 99, 241-255 (2021). MSC: 91G05 62P05 62H05 PDF BibTeX XML Cite \textit{R. Zhou} and \textit{M. Ji}, Insur. Math. Econ. 99, 241--255 (2021; Zbl 1467.91155) Full Text: DOI OpenURL
Dodd, Erengul; Forster, Jonathan J.; Bijak, Jakub; Smith, Peter W. F. Stochastic modelling and projection of mortality improvements using a hybrid parametric/semi-parametric age-period-cohort model. (English) Zbl 1471.91457 Scand. Actuar. J. 2021, No. 2, 134-155 (2021). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G05 91B84 62P05 PDF BibTeX XML Cite \textit{E. Dodd} et al., Scand. Actuar. J. 2021, No. 2, 134--155 (2021; Zbl 1471.91457) Full Text: DOI OpenURL
McCarthy, David; Wang, Po-Lin An analysis of period and cohort mortality shocks in international data. (English) Zbl 1461.91255 N. Am. Actuar. J. 25, Suppl. 1, S385-S409 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{D. McCarthy} and \textit{P.-L. Wang}, N. Am. Actuar. J. 25, S385--S409 (2021; Zbl 1461.91255) Full Text: DOI OpenURL
Liu, Yanxin; Li, Johnny Siu-Hang An efficient method for mitigating longevity value-at-risk. (English) Zbl 1465.91097 N. Am. Actuar. J. 25, Suppl. 1, S309-S340 (2021). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 PDF BibTeX XML Cite \textit{Y. Liu} and \textit{J. S. H. Li}, N. Am. Actuar. J. 25, S309--S340 (2021; Zbl 1465.91097) Full Text: DOI OpenURL
Dowd, Kevin; Cairns, Andrew J. G.; Blake, David Hedging annuity risks with the age-period-cohort two-population gravity model. (English) Zbl 1461.91243 N. Am. Actuar. J. 25, Suppl. 1, S170-S181 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{K. Dowd} et al., N. Am. Actuar. J. 25, S170--S181 (2021; Zbl 1461.91243) Full Text: DOI Link OpenURL
Yang, Sharon S.; Yeh, Yu-Yun; Yue, Jack C.; Huang, Hong Chih Understanding patterns of mortality homogeneity and heterogeneity across countries and their role in modeling mortality dynamics and hedging longevity risk. (English) Zbl 1465.91098 N. Am. Actuar. J. 25, Suppl. 1, S132-S155 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 91D20 PDF BibTeX XML Cite \textit{S. S. Yang} et al., N. Am. Actuar. J. 25, S132--S155 (2021; Zbl 1465.91098) Full Text: DOI OpenURL
Hsieh, Ming-Hua; Tsai, Chenghsien Jason; Wang, Jennifer L. Mortality risk management under the factor copula framework – with applications to insurance policy pools. (English) Zbl 1466.91263 N. Am. Actuar. J. 25, Suppl. 1, S119-S131 (2021). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 PDF BibTeX XML Cite \textit{M.-H. Hsieh} et al., N. Am. Actuar. J. 25, S119--S131 (2021; Zbl 1466.91263) Full Text: DOI OpenURL
Zhou, Kenneth Q.; Li, Johnny Siu-Hang Longevity Greeks: what do insurers and capital market investors need to know? (English) Zbl 1465.91099 N. Am. Actuar. J. 25, Suppl. 1, S66-S96 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{K. Q. Zhou} and \textit{J. S. H. Li}, N. Am. Actuar. J. 25, S66--S96 (2021; Zbl 1465.91099) Full Text: DOI OpenURL
Blake, David (ed.); MacMinn, Richard (ed.); Tsai, Jason Chenghsien (ed.); Wang, Jennifer (ed.) Longevity risk and capital markets: the 2017–2018 update. (English) Zbl 07341011 N. Am. Actuar. J. 25, Suppl. 1, S280-S308 (2021). MSC: 00B15 PDF BibTeX XML Cite \textit{D. Blake} (ed.) et al., N. Am. Actuar. J. 25, S280--S308 (2021; Zbl 07341011) Full Text: DOI OpenURL
Tsai, Cary Chi-Liang; Wu, Adelaide Di Bühlmann credibility-based approaches to modeling mortality rates for multiple populations. (English) Zbl 1455.91229 N. Am. Actuar. J. 24, No. 2, 290-315 (2020). Reviewer: George Stoica (Saint John) MSC: 91G05 91D20 PDF BibTeX XML Cite \textit{C. C. L. Tsai} and \textit{A. Di Wu}, N. Am. Actuar. J. 24, No. 2, 290--315 (2020; Zbl 1455.91229) Full Text: DOI OpenURL
de Jong, Piet; Tickle, Leonie; Xu, Jianhui A more meaningful parameterization of the Lee-Carter model. (English) Zbl 1452.91267 Insur. Math. Econ. 94, 1-8 (2020). MSC: 91G05 91D20 PDF BibTeX XML Cite \textit{P. de Jong} et al., Insur. Math. Econ. 94, 1--8 (2020; Zbl 1452.91267) Full Text: DOI OpenURL
Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan Cohort and value-based multi-country longevity risk management. (English) Zbl 1448.91267 Scand. Actuar. J. 2020, No. 7, 650-676 (2020). MSC: 91G05 91D20 PDF BibTeX XML Cite \textit{M. Sherris} et al., Scand. Actuar. J. 2020, No. 7, 650--676 (2020; Zbl 1448.91267) Full Text: DOI OpenURL
Bozikas, Apostolos; Pitselis, Georgios Incorporating crossed classification credibility into the Lee-Carter model for multi-population mortality data. (English) Zbl 1448.91257 Insur. Math. Econ. 93, 353-368 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 91D20 PDF BibTeX XML Cite \textit{A. Bozikas} and \textit{G. Pitselis}, Insur. Math. Econ. 93, 353--368 (2020; Zbl 1448.91257) Full Text: DOI OpenURL
Lin, Tzuling; Tsai, Cary Chi-Liang Hedging mortality/longevity risks for multiple years. (English) Zbl 1437.91397 N. Am. Actuar. J. 24, No. 1, 118-140 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{T. Lin} and \textit{C. C. L. Tsai}, N. Am. Actuar. J. 24, No. 1, 118--140 (2020; Zbl 1437.91397) Full Text: DOI OpenURL
Tsai, Cary Chi-Liang; Wu, Adelaide Di Incorporating hierarchical credibility theory into modelling of multi-country mortality rates. (English) Zbl 1435.91160 Insur. Math. Econ. 91, 37-54 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{C. C. L. Tsai} and \textit{A. Di Wu}, Insur. Math. Econ. 91, 37--54 (2020; Zbl 1435.91160) Full Text: DOI OpenURL
Lin, Tzuling; Tsai, Cary Chi-liang Natural hedges with immunization strategies of mortality and interest rates. (English) Zbl 1431.91339 ASTIN Bull. 50, No. 1, 155-185 (2020). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{T. Lin} and \textit{C. C. l. Tsai}, ASTIN Bull. 50, No. 1, 155--185 (2020; Zbl 1431.91339) Full Text: DOI OpenURL
Chen, An; Rach, Manuel; Sehner, Thorsten On the optimal combination of annuities and tontines. (English) Zbl 1431.91320 ASTIN Bull. 50, No. 1, 95-129 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{A. Chen} et al., ASTIN Bull. 50, No. 1, 95--129 (2020; Zbl 1431.91320) Full Text: DOI OpenURL
Jarner, Søren F.; Jallbjørn, Snorre Pitfalls and merits of cointegration-based mortality models. (English) Zbl 1431.91334 Insur. Math. Econ. 90, 80-93 (2020). MSC: 91G05 91D20 PDF BibTeX XML Cite \textit{S. F. Jarner} and \textit{S. Jallbjørn}, Insur. Math. Econ. 90, 80--93 (2020; Zbl 1431.91334) Full Text: DOI OpenURL
Wu, Ruhao; Wang, Bo Coherent mortality forecasting by the weighted multilevel functional principal component approach. (English) Zbl 07480003 J. Appl. Stat. 46, No. 10, 1774-1791 (2019). MSC: 62Pxx PDF BibTeX XML Cite \textit{R. Wu} and \textit{B. Wang}, J. Appl. Stat. 46, No. 10, 1774--1791 (2019; Zbl 07480003) Full Text: DOI OpenURL
Chen, An; Rach, Manuel Options on tontines: an innovative way of combining tontines and annuities. (English) Zbl 1427.91221 Insur. Math. Econ. 89, 182-192 (2019). MSC: 91G05 91G20 PDF BibTeX XML Cite \textit{A. Chen} and \textit{M. Rach}, Insur. Math. Econ. 89, 182--192 (2019; Zbl 1427.91221) Full Text: DOI OpenURL
Jevtić, Petar; Regis, Luca A continuous-time stochastic model for the mortality surface of multiple populations. (English) Zbl 1425.91226 Insur. Math. Econ. 88, 181-195 (2019). MSC: 91B30 62P05 91D20 93E11 PDF BibTeX XML Cite \textit{P. Jevtić} and \textit{L. Regis}, Insur. Math. Econ. 88, 181--195 (2019; Zbl 1425.91226) Full Text: DOI Link OpenURL
Lledó, Josep; Pavía, Jose M.; Morillas-Jurado, Francisco G. Incorporating big microdata in life table construction: A hypothesis-free estimator. (English) Zbl 1425.91230 Insur. Math. Econ. 88, 138-150 (2019); corrigendum ibid. 101, 639 (2021). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{J. Lledó} et al., Insur. Math. Econ. 88, 138--150 (2019; Zbl 1425.91230) Full Text: DOI OpenURL
Xu, Mengyi; Sherris, Michael; Meyricke, Ramona Systematic mortality improvement trends and mortality heterogeneity: insights from individual-level HRS data. (English) Zbl 1410.91292 N. Am. Actuar. J. 23, No. 2, 197-219 (2019). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{M. Xu} et al., N. Am. Actuar. J. 23, No. 2, 197--219 (2019; Zbl 1410.91292) Full Text: DOI OpenURL
Rui, Zhou Modelling mortality dependence with regime-switching copulas. (English) Zbl 1458.91187 ASTIN Bull. 49, No. 2, 373-407 (2019). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 91D20 62P05 62H05 PDF BibTeX XML Cite \textit{Z. Rui}, ASTIN Bull. 49, No. 2, 373--407 (2019; Zbl 1458.91187) Full Text: DOI Link OpenURL
Tsai, Cary Chi-Liang; Zhang, Ying A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates. (English) Zbl 1411.91317 Scand. Actuar. J. 2019, No. 5, 406-431 (2019). MSC: 91B30 62P10 62M20 PDF BibTeX XML Cite \textit{C. C. L. Tsai} and \textit{Y. Zhang}, Scand. Actuar. J. 2019, No. 5, 406--431 (2019; Zbl 1411.91317) Full Text: DOI Link OpenURL
Ji, Min; Zhou, Rui A general semi-Markov model for coupled lifetimes. (English) Zbl 1411.91290 N. Am. Actuar. J. 23, No. 1, 98-119 (2019). MSC: 91B30 60J85 PDF BibTeX XML Cite \textit{M. Ji} and \textit{R. Zhou}, N. Am. Actuar. J. 23, No. 1, 98--119 (2019; Zbl 1411.91290) Full Text: DOI Link OpenURL
Zhou, Kenneth Q.; Li, Johnny Siu-Hang Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk. (English) Zbl 1419.91390 Insur. Math. Econ. 84, 1-21 (2019). MSC: 91B30 PDF BibTeX XML Cite \textit{K. Q. Zhou} and \textit{J. S. H. Li}, Insur. Math. Econ. 84, 1--21 (2019; Zbl 1419.91390) Full Text: DOI OpenURL
Chi-Liang Tsai, Cary; Liang, Xinying Application of relational models in mortality immunization. (English) Zbl 1411.91273 N. Am. Actuar. J. 22, No. 4, 509-532 (2018). MSC: 91B30 PDF BibTeX XML Cite \textit{C. Chi-Liang Tsai} and \textit{X. Liang}, N. Am. Actuar. J. 22, No. 4, 509--532 (2018; Zbl 1411.91273) Full Text: DOI Link OpenURL
Chen, Ree Yongqing; Millossovich, Pietro Sex-specific mortality forecasting for UK countries: a coherent approach. (English) Zbl 1416.91163 Eur. Actuar. J. 8, No. 1, 69-95 (2018). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{R. Y. Chen} and \textit{P. Millossovich}, Eur. Actuar. J. 8, No. 1, 69--95 (2018; Zbl 1416.91163) Full Text: DOI OpenURL
Leung, Melvern; Fung, Man Chung; O’Hare, Colin A comparative study of pricing approaches for longevity instruments. (English) Zbl 1416.91200 Insur. Math. Econ. 82, 95-116 (2018). MSC: 91B30 91G20 91-04 62P05 PDF BibTeX XML Cite \textit{M. Leung} et al., Insur. Math. Econ. 82, 95--116 (2018; Zbl 1416.91200) Full Text: DOI OpenURL
Zhang, Xiaoli; Tsai, Cary Chi-Liang The optimal write-down coefficients in a percentage for a catastrophe bond. (English) Zbl 1393.91102 N. Am. Actuar. J. 22, No. 1, 1-21 (2018). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{X. Zhang} and \textit{C. C. L. Tsai}, N. Am. Actuar. J. 22, No. 1, 1--21 (2018; Zbl 1393.91102) Full Text: DOI OpenURL
Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa; Wang, Chou-Wen Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach. (English) Zbl 1390.91222 ASTIN Bull. 48, No. 2, 779-815 (2018). MSC: 91B30 60G51 62H05 62P05 PDF BibTeX XML Cite \textit{W. Zhu} et al., ASTIN Bull. 48, No. 2, 779--815 (2018; Zbl 1390.91222) Full Text: DOI OpenURL
Levantesi, Susanna; Menzietti, Massimiliano Natural hedging in long-term care insurance. (English) Zbl 1390.91192 ASTIN Bull. 48, No. 1, 233-274 (2018). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{S. Levantesi} and \textit{M. Menzietti}, ASTIN Bull. 48, No. 1, 233--274 (2018; Zbl 1390.91192) Full Text: DOI OpenURL
Li, Hong Dynamic hedging of longevity risk: the effect of trading frequency. (English) Zbl 1390.91194 ASTIN Bull. 48, No. 1, 197-232 (2018). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{H. Li}, ASTIN Bull. 48, No. 1, 197--232 (2018; Zbl 1390.91194) Full Text: DOI OpenURL
Hunt, Andrew; Blake, David Identifiability, cointegration and the gravity model. (English) Zbl 1400.91248 Insur. Math. Econ. 78, 360-368 (2018). MSC: 91B30 91D20 PDF BibTeX XML Cite \textit{A. Hunt} and \textit{D. Blake}, Insur. Math. Econ. 78, 360--368 (2018; Zbl 1400.91248) Full Text: DOI Link OpenURL
Liu, Yanxin; Li, Johnny Siu-Hang A strategy for hedging risks associated with period and cohort effects using q-forwards. (English) Zbl 1398.91344 Insur. Math. Econ. 78, 267-285 (2018). MSC: 91B30 60H30 60H15 62P05 PDF BibTeX XML Cite \textit{Y. Liu} and \textit{J. S. H. Li}, Insur. Math. Econ. 78, 267--285 (2018; Zbl 1398.91344) Full Text: DOI Link OpenURL
Blake, David (ed.); El Karoui, Nicole (ed.); Loisel, Stéphane (ed.); MacMinn, Richard (ed.) Longevity risk and capital markets: the 2015–16 update. (English) Zbl 1384.00062 Insur. Math. Econ. 78, 157-173 (2018). MSC: 00B15 00B25 91-06 91B30 PDF BibTeX XML Cite \textit{D. Blake} (ed.) et al., Insur. Math. Econ. 78, 157--173 (2018; Zbl 1384.00062) Full Text: DOI OpenURL
De Rosa, Clemente; Luciano, Elisa; Regis, Luca Basis risk in static versus dynamic longevity-risk hedging. (English) Zbl 1401.91129 Scand. Actuar. J. 2017, No. 4, 343-365 (2017). MSC: 91B30 62P05 91D20 91G20 PDF BibTeX XML Cite \textit{C. De Rosa} et al., Scand. Actuar. J. 2017, No. 4, 343--365 (2017; Zbl 1401.91129) Full Text: DOI Link OpenURL
Villegas, Andrés M.; Haberman, Steven; Kaishev, Vladimir K.; Millossovich, Pietro A comparative study of two-population models for the assessment of basis risk in longevity hedges. (English) Zbl 1390.91215 ASTIN Bull. 47, No. 3, 631-679 (2017). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{A. M. Villegas} et al., ASTIN Bull. 47, No. 3, 631--679 (2017; Zbl 1390.91215) Full Text: DOI Link OpenURL
Hunt, Andrew; Blake, David Modelling mortality for pension schemes. (English) Zbl 1390.91189 ASTIN Bull. 47, No. 2, 601-629 (2017). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{A. Hunt} and \textit{D. Blake}, ASTIN Bull. 47, No. 2, 601--629 (2017; Zbl 1390.91189) Full Text: DOI Link OpenURL
Li, Hong; Lu, Yang Coherent forecasting of mortality rates: a sparse vector-autoregression approach. (English) Zbl 1390.62215 ASTIN Bull. 47, No. 2, 563-600 (2017). MSC: 62P05 62M30 62M10 91B30 91D20 PDF BibTeX XML Cite \textit{H. Li} and \textit{Y. Lu}, ASTIN Bull. 47, No. 2, 563--600 (2017; Zbl 1390.62215) Full Text: DOI Link OpenURL
Liu, Yanxin; Li, Johnny Siu-Hang The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk. (English) Zbl 1390.91198 ASTIN Bull. 47, No. 1, 79-151 (2017). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{Y. Liu} and \textit{J. S. H. Li}, ASTIN Bull. 47, No. 1, 79--151 (2017; Zbl 1390.91198) Full Text: DOI OpenURL
Zhang, Jingong; Tan, Ken Seng; Weng, Chengguo Optimal hedging with basis risk under mean-variance criterion. (English) Zbl 1394.91242 Insur. Math. Econ. 75, 1-15 (2017). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{J. Zhang} et al., Insur. Math. Econ. 75, 1--15 (2017; Zbl 1394.91242) Full Text: DOI OpenURL
Salhi, Yahia; Loisel, Stéphane Basis risk modelling: a cointegration-based approach. (English) Zbl 1369.62285 Statistics 51, No. 1, 205-221 (2017). MSC: 62P05 62M10 91B30 91D20 PDF BibTeX XML Cite \textit{Y. Salhi} and \textit{S. Loisel}, Statistics 51, No. 1, 205--221 (2017; Zbl 1369.62285) Full Text: DOI Link OpenURL
Neves, César; Fernandes, Cristiano; Veiga, Álvaro Forecasting longevity gains for a population with short time series using a structural SUTSE model: an application to Brazilian annuity plans. (English) Zbl 1414.91224 N. Am. Actuar. J. 20, No. 1, 37-56 (2016). MSC: 91B30 62P05 62M10 PDF BibTeX XML Cite \textit{C. Neves} et al., N. Am. Actuar. J. 20, No. 1, 37--56 (2016; Zbl 1414.91224) Full Text: DOI OpenURL
de Jong, Piet; Tickle, Leonie; Xu, Jianhui Coherent modeling of male and female mortality using Lee-Carter in a complex number framework. (English) Zbl 1371.91114 Insur. Math. Econ. 71, 130-137 (2016). MSC: 91B30 91D20 62P05 PDF BibTeX XML Cite \textit{P. de Jong} et al., Insur. Math. Econ. 71, 130--137 (2016; Zbl 1371.91114) Full Text: DOI OpenURL
Liu, Yanxin; Li, Johnny Siu-Hang It’s all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk. (English) Zbl 1371.91103 Insur. Math. Econ. 70, 301-319 (2016). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{Y. Liu} and \textit{J. S. H. Li}, Insur. Math. Econ. 70, 301--319 (2016; Zbl 1371.91103) Full Text: DOI OpenURL
D’Amato, Valeria; Haberman, Steven; Piscopo, Gabriella; Russolillo, Maria; Trapani, Lorenzo Multiple mortality modeling in Poisson Lee-Carter framework. (English) Zbl 1365.62414 Commun. Stat., Theory Methods 45, No. 6, 1723-1732 (2016). MSC: 62P10 62P25 62F40 62N05 62M20 91D20 PDF BibTeX XML Cite \textit{V. D'Amato} et al., Commun. Stat., Theory Methods 45, No. 6, 1723--1732 (2016; Zbl 1365.62414) Full Text: DOI OpenURL
Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene Risk-minimization for life insurance liabilities with basis risk. (English) Zbl 1404.91136 Math. Financ. Econ. 10, No. 2, 151-178 (2016). MSC: 91B30 62P05 62P20 60G44 PDF BibTeX XML Cite \textit{F. Biagini} et al., Math. Financ. Econ. 10, No. 2, 151--178 (2016; Zbl 1404.91136) Full Text: DOI OpenURL
Lin, Tzuling; Tsai, Cary Chi-Liang Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary. (English) Zbl 1348.91169 Insur. Math. Econ. 66, 44-58 (2016). MSC: 91B30 62P05 91D20 91G20 PDF BibTeX XML Cite \textit{T. Lin} and \textit{C. C. L. Tsai}, Insur. Math. Econ. 66, 44--58 (2016; Zbl 1348.91169) Full Text: DOI OpenURL
Tsai, Cary Chi-Liang; Yang, Shuai A linear regression approach to modeling mortality rates of different forms. (English) Zbl 1414.91238 N. Am. Actuar. J. 19, No. 1, 1-23 (2015). MSC: 91B30 62P05 62J05 PDF BibTeX XML Cite \textit{C. C. L. Tsai} and \textit{S. Yang}, N. Am. Actuar. J. 19, No. 1, 1--23 (2015; Zbl 1414.91238) Full Text: DOI OpenURL
Zheng, Min Heterogeneous expectations and speculative behavior in insurance-linked securities. (English) Zbl 1418.91260 Discrete Dyn. Nat. Soc. 2015, Article ID 574091, 12 p. (2015). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{M. Zheng}, Discrete Dyn. Nat. Soc. 2015, Article ID 574091, 12 p. (2015; Zbl 1418.91260) Full Text: DOI OpenURL
Jarner, Søren Fiig; Møller, Thomas A partial internal model for longevity risk. (English) Zbl 1398.91334 Scand. Actuar. J. 2015, No. 4, 352-382 (2015). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{S. F. Jarner} and \textit{T. Møller}, Scand. Actuar. J. 2015, No. 4, 352--382 (2015; Zbl 1398.91334) Full Text: DOI OpenURL
Christiansen, Marcus C.; Spodarev, Evgeny; Unseld, Verena Differences in European mortality rates: a geometric approach on the age-period plane. (English) Zbl 1390.91173 ASTIN Bull. 45, No. 3, 477-502 (2015). MSC: 91B30 62P05 86A32 PDF BibTeX XML Cite \textit{M. C. Christiansen} et al., ASTIN Bull. 45, No. 3, 477--502 (2015; Zbl 1390.91173) Full Text: DOI OpenURL
Antonio, Katrien; Bardoutsos, Anastasios; Ouburg, Wilbert Bayesian Poisson log-bilinear models for mortality projections with multiple populations. (English) Zbl 1329.91111 Eur. Actuar. J. 5, No. 2, 245-281 (2015). MSC: 91D20 91B30 62F15 62P05 91B84 91G60 PDF BibTeX XML Cite \textit{K. Antonio} et al., Eur. Actuar. J. 5, No. 2, 245--281 (2015; Zbl 1329.91111) Full Text: DOI Link OpenURL
Lin, Yijia; MacMinn, Richard D.; Tian, Ruilin De-risking defined benefit plans. (English) Zbl 1348.91170 Insur. Math. Econ. 63, 52-65 (2015). MSC: 91B30 91G70 62P05 PDF BibTeX XML Cite \textit{Y. Lin} et al., Insur. Math. Econ. 63, 52--65 (2015; Zbl 1348.91170) Full Text: DOI OpenURL
Chen, Hua; MacMinn, Richard; Sun, Tao Multi-population mortality models: a factor copula approach. (English) Zbl 1348.91131 Insur. Math. Econ. 63, 135-146 (2015). MSC: 91B30 62P05 62H20 62M20 PDF BibTeX XML Cite \textit{H. Chen} et al., Insur. Math. Econ. 63, 135--146 (2015; Zbl 1348.91131) Full Text: DOI OpenURL
Li, Johnny Siu-Hang; Zhou, Rui; Hardy, Mary A step-by-step guide to building two-population stochastic mortality models. (English) Zbl 1348.91164 Insur. Math. Econ. 63, 121-134 (2015). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{J. S. H. Li} et al., Insur. Math. Econ. 63, 121--134 (2015; Zbl 1348.91164) Full Text: DOI OpenURL
Wang, Chou-Wen; Yang, Sharon S.; Huang, Hong-Chih Modeling multi-country mortality dependence and its application in pricing survivor index swaps – a dynamic copula approach. (English) Zbl 1348.62249 Insur. Math. Econ. 63, 30-39 (2015). MSC: 62P05 91B30 62M10 91D20 91G20 PDF BibTeX XML Cite \textit{C.-W. Wang} et al., Insur. Math. Econ. 63, 30--39 (2015; Zbl 1348.62249) Full Text: DOI OpenURL
Hunt, Andrew; Blake, David Modelling longevity bonds: analysing the Swiss Re Kortis bond. (English) Zbl 1348.91150 Insur. Math. Econ. 63, 12-29 (2015). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{A. Hunt} and \textit{D. Blake}, Insur. Math. Econ. 63, 12--29 (2015; Zbl 1348.91150) Full Text: DOI Link OpenURL
Tan, Ken Seng (ed.) Editorial: Longevity risk and capital markets: the 2013–14 update. (English) Zbl 1321.00138 Insur. Math. Econ. 63, 1-11 (2015). MSC: 00B25 00B15 91-06 91B30 62P05 91D20 91G20 PDF BibTeX XML Cite \textit{K. S. Tan} (ed.), Insur. Math. Econ. 63, 1--11 (2015; Zbl 1321.00138) Full Text: DOI OpenURL
Li, Jackie; Haberman, Steven On the effectiveness of natural hedging for insurance companies and pension plans. (English) Zbl 1314.91142 Insur. Math. Econ. 61, 286-297 (2015). MSC: 91B30 91G70 PDF BibTeX XML Cite \textit{J. Li} and \textit{S. Haberman}, Insur. Math. Econ. 61, 286--297 (2015; Zbl 1314.91142) Full Text: DOI Link OpenURL
Lin, Tzuling; Wang, Chou-Wen; Tsai, Cary Chi-Liang Age-specific copula-AR-GARCH mortality models. (English) Zbl 1314.91143 Insur. Math. Econ. 61, 110-124 (2015). MSC: 91B30 62P20 91B84 91D20 PDF BibTeX XML Cite \textit{T. Lin} et al., Insur. Math. Econ. 61, 110--124 (2015; Zbl 1314.91143) Full Text: DOI OpenURL
Danesi, Ivan Luciano; Haberman, Steven; Millossovich, Pietro Forecasting mortality in subpopulations using Lee-Carter type models: a comparison. (English) Zbl 1318.91109 Insur. Math. Econ. 62, 151-161 (2015). MSC: 91B30 91B70 91D20 PDF BibTeX XML Cite \textit{I. L. Danesi} et al., Insur. Math. Econ. 62, 151--161 (2015; Zbl 1318.91109) Full Text: DOI OpenURL
Lin, Tzuling; Tsai, Cary Chi-Liang Applications of mortality durations and convexities in natural hedges. (English) Zbl 1414.91215 N. Am. Actuar. J. 18, No. 3, 417-442 (2014). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{T. Lin} and \textit{C. C. L. Tsai}, N. Am. Actuar. J. 18, No. 3, 417--442 (2014; Zbl 1414.91215) Full Text: DOI OpenURL
Villegas, Andrés M.; Haberman, Steven On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England. (English) Zbl 1412.91057 N. Am. Actuar. J. 18, No. 1, 168-193 (2014). MSC: 91B30 62P05 62M20 PDF BibTeX XML Cite \textit{A. M. Villegas} and \textit{S. Haberman}, N. Am. Actuar. J. 18, No. 1, 168--193 (2014; Zbl 1412.91057) Full Text: DOI Link OpenURL
Zhou, Rui; Wang, Yujiao; Kaufhold, Kai; Li, Johnny Siu-Hang; Tan, Ken Seng Modeling period effects in multi-population mortality models: applications to Solvency II. (English) Zbl 1412.91060 N. Am. Actuar. J. 18, No. 1, 150-167 (2014). MSC: 91B30 62P05 62M20 PDF BibTeX XML Cite \textit{R. Zhou} et al., N. Am. Actuar. J. 18, No. 1, 150--167 (2014; Zbl 1412.91060) Full Text: DOI OpenURL
D’Amato, Valeria; Haberman, Steven; Piscopo, Gabriella; Russolillo, Maria; Trapani, Lorenzo Detecting common longevity trends by a multiple population approach. (English) Zbl 1412.91041 N. Am. Actuar. J. 18, No. 1, 139-149 (2014). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{V. D'Amato} et al., N. Am. Actuar. J. 18, No. 1, 139--149 (2014; Zbl 1412.91041) Full Text: DOI Link OpenURL
Lin, Yijia; Tan, Ken Seng; Tian, Ruilin; Yu, Jifeng Downside risk management of a defined benefit plan considering longevity basis risk. (English) Zbl 1412.91048 N. Am. Actuar. J. 18, No. 1, 68-86 (2014). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{Y. Lin} et al., N. Am. Actuar. J. 18, No. 1, 68--86 (2014; Zbl 1412.91048) Full Text: DOI OpenURL
Blake, David (ed.); MacMinn, Richard (ed.); Li, Johnny Siu-Hang (ed.); Hardy, Mary (ed.) Longevity risk and capital markets: the 2012–2013 update. (English) Zbl 1458.00030 N. Am. Actuar. J. 18, No. 1, 1-13 (2014). MSC: 00B25 91-06 91G05 PDF BibTeX XML Cite \textit{D. Blake} (ed.) et al., N. Am. Actuar. J. 18, No. 1, 1--13 (2014; Zbl 1458.00030) Full Text: DOI OpenURL
Aro, Helena; Pennanen, Teemu Stochastic modelling of mortality and financial markets. (English) Zbl 1401.91093 Scand. Actuar. J. 2014, No. 6, 483-509 (2014). MSC: 91B30 62P05 60H30 PDF BibTeX XML Cite \textit{H. Aro} and \textit{T. Pennanen}, Scand. Actuar. J. 2014, No. 6, 483--509 (2014; Zbl 1401.91093) Full Text: DOI Link OpenURL
Ahmadi, Seyed Saeed; Li, Johnny Siu-Hang Coherent mortality forecasting with generalized linear models: a modified time-transformation approach. (English) Zbl 1306.91067 Insur. Math. Econ. 59, 194-221 (2014). MSC: 91B30 62P05 62J12 91D20 PDF BibTeX XML Cite \textit{S. S. Ahmadi} and \textit{J. S. H. Li}, Insur. Math. Econ. 59, 194--221 (2014; Zbl 1306.91067) Full Text: DOI OpenURL
Wong, Tat Wing; Chiu, Mei Choi; Wong, Hoi Ying Time-consistent mean-variance hedging of longevity risk: effect of cointegration. (English) Zbl 1304.91136 Insur. Math. Econ. 56, 56-67 (2014). MSC: 91B30 91G10 49L20 PDF BibTeX XML Cite \textit{T. W. Wong} et al., Insur. Math. Econ. 56, 56--67 (2014; Zbl 1304.91136) Full Text: DOI OpenURL
Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D. Longevity hedge effectiveness: a decomposition. (English) Zbl 1294.91072 Quant. Finance 14, No. 2, 217-235 (2014). MSC: 91B30 91D20 PDF BibTeX XML Cite \textit{A. J. G. Cairns} et al., Quant. Finance 14, No. 2, 217--235 (2014; Zbl 1294.91072) Full Text: DOI Link OpenURL
Lin, Tzuling; Tsai, Cary Chi-Liang On the mortality/longevity risk hedging with mortality immunization. (English) Zbl 1290.91093 Insur. Math. Econ. 53, No. 3, 580-596 (2013). MSC: 91B30 91D20 PDF BibTeX XML Cite \textit{T. Lin} and \textit{C. C. L. Tsai}, Insur. Math. Econ. 53, No. 3, 580--596 (2013; Zbl 1290.91093) Full Text: DOI OpenURL
Yang, Sharon S.; Wang, Chou-Wen Pricing and securitization of multi-country longevity risk with mortality dependence. (English) Zbl 1284.91556 Insur. Math. Econ. 52, No. 2, 157-169 (2013). MSC: 91G20 91D20 91B30 PDF BibTeX XML Cite \textit{S. S. Yang} and \textit{C.-W. Wang}, Insur. Math. Econ. 52, No. 2, 157--169 (2013; Zbl 1284.91556) Full Text: DOI OpenURL
Cairns, Andrew J. G. Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging. (English) Zbl 1230.91068 Insur. Math. Econ. 49, No. 3, 438-453 (2011). MSC: 91B30 91G50 PDF BibTeX XML Cite \textit{A. J. G. Cairns}, Insur. Math. Econ. 49, No. 3, 438--453 (2011; Zbl 1230.91068) Full Text: DOI OpenURL