×

Longevity risk and capital markets: the 2019–20 update. (English) Zbl 07368206

Summary: This Special Issue of Insurance: Mathematics and Economics contains 16 contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity 15: The Fifteenth International Longevity Risk and Capital Markets Solutions Conference that was held in Washington DC on 12–13 September 2019. It was hosted by the Pensions Institute at City, University of London.

MSC:

00B25 Proceedings of conferences of miscellaneous specific interest
92D25 Population dynamics (general)
PDF BibTeX XML Cite
Full Text: DOI

References:

[1] Ai, J.; Brockett, P. L.; Golden, L. L.; Zhu, W., Health state transitions and longevity effects on retirees’ optimal annuitization, The Journal of Risk and Insurance, 84, S1, 319-343 (2017)
[2] Ai, J.; Brockett, P. L.; Jacobson, A. F., A new defined benefit pension risk measurement methodology, Insurance. Mathematics & Economics, 63, 40-51 (2015) · Zbl 1348.91125
[3] Alai, D. H.; Arnold, S.; Bajekal, M.; Villegas, A. M., Mind the gap: a study of cause-specific mortality by socioeconomic circumstances, North American Actuarial Journal, 22, 2, 161-181 (2018) · Zbl 1393.91096
[4] Alai, D. H.; Arnold, S.; Sherris, M., Modelling cause-of-death mortality and the impact of cause-elimination, Annals of Actuarial Science, 9, 01, 167-186 (2014)
[5] Alai, D. H.; Chen, H.; Cho, D.; Hanewald, K.; Michael Sherris, M., Developing equity release markets: risk analysis for reverse mortgages and home reversions, North American Actuarial Journal, 18, 1, 217-241 (2014) · Zbl 1412.91028
[6] Alai, D. H.; Sherris, M., Rethinking age-period-cohort mortality trend models, Scandinavian Actuarial Journal, 2014, 3, 208-227 (2014) · Zbl 1401.91088
[7] Alho, J. M., Stochastic methods in population forecasting, International Journal of Forecasting, 6, 4, 521-530 (1990)
[8] Aleksic, M.-C.; Börger, M., Coherent Projections of Age, Period, and Cohort Dependent Mortality Improvements (2012), University of Ulm, Discussion Paper
[9] Antolin, P.; Blommestein, H., Governments and the Market for Longevity-Indexed Bonds, Organization for Economic Cooperation and Development Working Papers on Insurance and Private Pensions, vol. 4 (2007), OECD Publishing: OECD Publishing Paris
[10] Antonio, K.; Bardoutsos, A.; Ouburg, W., A Bayesian Poisson log-bilinear model for mortality projections with multiple populations, European Actuarial Journal, 5, 2, 245-281 (2015) · Zbl 1329.91111
[11] Apicella, G.; Dacorogna, M.; Di Lorenzo, E.; Sibillo, M., Improving the forecast of longevity by combining models, North American Actuarial Journal, 23, 2, 298-319 (2019) · Zbl 1410.91253
[12] Arnold, S.; Sherris, M., Forecasting mortality trends allowing for cause-of-death mortality dependence, North American Actuarial Journal, 17, 273-282 (2013) · Zbl 1412.91218
[13] Arnold, S.; Sherris, M., Modelling cause-of-death mortality: what do we know on their dependence?, North American Actuarial Journal, 19, 2, 116-128 (2015) · Zbl 1414.91158
[14] Arnold, S.; Sherris, M., International cause-specific mortality rates: new insights from a cointegration analysis, ASTIN Bulletin, 46, 1, 9-38 (2016) · Zbl 1390.62332
[15] Aro, H., Systematic and non-systematic mortality risk in pension portfolios, North American Actuarial Journal, 18, 1, 59-67 (2014) · Zbl 1412.91029
[16] Aro, H.; Pennanen, T., Liability-Driven Investment in Longevity Risk Management, International Series in Operations Research and Management Science, vol. 245, 121-136 (2017), Springer: Springer New York
[17] Bahl, R. K.; Sabanis, S., Model-independent price bounds for catastrophic mortality bonds, Insurance. Mathematics & Economics, 96, C, 276-291 (2021) · Zbl 1460.91209
[18] Balland, F.; Boumezoued, A.; Devineau, L.; Habart, M.; Popa, T., Mortality data reliability in an internal model, Annals of Actuarial Science, 14, 2, 420-444 (2020)
[19] Balter, A. G.; Kallestrup-Lamb, M.; Rangvid, J., Variability in pension products: a comparison study between the Netherlands and Denmark, Annals of Actuarial Science, 14, 2, 338-357 (2020)
[20] Barbarin, J., Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios, Insurance. Mathematics & Economics, 43, 41-55 (2008) · Zbl 1140.91377
[21] Barrieu, P.; Bensusan, H.; El Karoui, N.; Hillairet, C.; Loisel, S.; Ravanelli, C.; Salhi, Y., Understanding, modeling and managing longevity risk: key issues and main challenges, Scandinavian Actuarial Journal, 3, 203-231 (2012) · Zbl 1277.91073
[22] Barrieu, P. M.; Veraart, L. A.M., Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models, Scandinavian Actuarial Journal, 2016, 2, 146-166 (2016) · Zbl 1401.91097
[23] Basellini, U.; Kjærgaard, S.; Camarda, C., An age-at-death distribution approach to forecast cohort mortality, Insurance. Mathematics & Economics, 91, 129-143 (2020) · Zbl 1435.91140
[24] Bauer, D., An Arbitrage-Free Family of Longevity Bonds (2006), University of Ulm, Discussion Paper
[25] Bauer, D.; Benth, F. E.; Kiesel, R., Modeling the Forward Surface of Mortality (2010), University of Ulm, Discussion Paper
[26] Bauer, D.; Börger, M.; Russ, J., On the pricing of longevity-linked securities, Insurance. Mathematics & Economics, 46, 139-149 (2010) · Zbl 1231.91142
[27] Bauer, D.; Börger, M.; Russ, J.; Zwiesler, H. J., The volatility of mortality, Asia-Pacific Journal of Risk and Insurance, 3, 172-199 (2008)
[28] Bauer, D.; Fasano, M.; Russ, J.; Zhu, N., Evaluating life expectancy evaluations, North American Actuarial Journal, 22, 198-209 (2018) · Zbl 1393.91098
[29] Bauer, D.; Kramer, F., Risk and Valuation of Mortality Contingent Catastrophe Bonds (2007), University of Ulm, Discussion Paper
[30] Bauer, D.; Ruß, J., Pricing Longevity Bonds using Implied Survival Probabilities (2006), University of Ulm, Discussion Paper
[31] Bayraktar, E.; Milevsky, M.; Promislow, D.; Young, V., Valuation of mortality risk via the instantaneous sharpe ratio: applications to life annuities, Journal of Economic Dynamics and Control, 3, 676-691 (2009) · Zbl 1170.91406
[32] Beard, R. E., Some aspects of theories of mortality, cause of death analysis, forecasting and stochastic processes, Biological Aspects of Demography, 999, 57-68 (1971)
[33] Bernhardt, T.; Donnelly, C., Modern tontine with bequest: innovation in pooled annuity products, Insurance. Mathematics & Economics, 86, C, 168-188 (2019) · Zbl 1411.91265
[34] Biffis, E., Affine processes for dynamic mortality and actuarial valuations, Insurance. Mathematics & Economics, 37, 443-468 (2005) · Zbl 1129.91024
[35] Biffis, E.; Blake, D., Securitizing and tranching longevity exposures, Insurance. Mathematics & Economics, 46, 186-197 (2010) · Zbl 1231.91144
[36] Biffis, E.; Blake, D., Informed intermediation of longevity exposures, The Journal of Risk and Insurance, 80, 559-584 (2013)
[37] Biffis, E.; Blake, D., Keeping some skin in the game: how to start a capital market in longevity risk transfers, North American Actuarial Journal, 18, 1, 14-21 (2014) · Zbl 1412.91031
[38] Biffis, E.; Denuit, M.; Devolder, P., Stochastic mortality under measure changes, Scandinavian Actuarial Journal, 2010, 284-311 (2010) · Zbl 1226.91022
[39] Biffis, E.; Lin, Y.; Milidonis, A., The cross-section of Asia-Pacific mortality dynamics: implications for longevity risk sharing, The Journal of Risk and Insurance, 84, S1, 515-532 (2017)
[40] Bisetti, E.; Favero, C. A., Measuring the impact of longevity risk on pension systems: the case of Italy, North American Actuarial Journal, 18, 1, 87-104 (2014) · Zbl 1412.91032
[41] Black, F., The pricing of commodity contracts, Journal of Financial Economics, 3, 167-179 (1976)
[42] Blackburn, C.; Hanewald, K.; Olivieri, A.; Sherris, M., Longevity risk management and shareholder value for a life annuity business, ASTIN Bulletin, 47, 1, 43-77 (2017) · Zbl 1390.91161
[43] Blake, D.; Boardman, T.; Cairns, A., Sharing longevity risk: why governments should issue longevity bonds, North American Actuarial Journal, 18, 1, 258-277 (2014) · Zbl 1412.91033
[44] Blake, D.; Burrows, W., Survivor bonds: helping to hedge mortality risk, The Journal of Risk and Insurance, 68, 2, 339-348 (2001)
[45] Blake, D.; Cairns, A. J.G.; Coughlan, G. D.; Dowd, K.; MacMinn, R., The new life market, The Journal of Risk and Insurance, 80, 501-558 (2013)
[46] Blake, D.; Cairns, A.; Dowd, K., Living with mortality: longevity bonds and other mortality-linked securities, British Actuarial Journal, 12, 153-197 (2006)
[47] Blake, D.; Cairns, A. J.G.; Dowd, K.; MacMinn, R., Longevity bonds: financial engineering, valuation and hedging, The Journal of Risk and Insurance, 73, 647-672 (2006)
[48] Blake, D.; Dowd, K.; Cairns, A. J.G., Longevity risk and the grim reaper’s toxic tail: the survivor fan charts, Insurance. Mathematics & Economics, 42, 1062-1068 (2008) · Zbl 1141.91485
[49] Blake, D.; Harrison, D., And Death Shall Have No Dominion: Life Settlements and the Ethics of Profiting from Mortality (2008), Available at, pensions-institute.org/DeathShallHaveNoDominion_Final_3July08.pdf
[50] Bongaarts, J., Long-range trends in adult mortality: models and projection methods, Demography, 42, 1, 23-49 (2005)
[51] Booth, H.; Maindonald, J.; Smith, L., Applying Lee-Carter under conditions of variable mortality decline, Population Studies, 56, 325-336 (2002)
[52] Booth, H.; Maindonald, J.; Smith, L., Age-Time Interactions in Mortality Projection: Applying Lee-Carter to Australia (2002), Australian National University, Working Papers in Demography
[53] Börger, M.; Schupp, J., Modeling trend processes in parametric mortality models, Insurance. Mathematics & Economics, 78, 369-380 (2018) · Zbl 1400.91241
[54] Borio, C.; Disyatat, P., Capital flows and the current account: taking financing (more) seriously (2015), BIS Working Papers No. 525
[55] Börsch-Supan, A., Demographic Change, Saving and Asset Prices: Theory and Evidence (2006), Mannheim Research Institute (MEA)
[56] Boumezoued, A., Improving HMD mortality estimates with HFD fertility data, North American Actuarial Journal, 25, S1, S255-S279 (2021) · Zbl 1460.91211
[57] Boumezoued, A.; Hardy, H. L.; El Karoui, N.; Arnold, S., Cause-of-death mortality: what can be learned from population dynamics?, Insurance. Mathematics & Economics, 78, 301-315 (2018) · Zbl 1400.91242
[58] Boumezoued, A.; Hoffmann, M.; Jeunesse, P., Nonparametric adaptive inference of birth and death models in a large population limit (2019)
[59] Boumezoued, A.; Hoffmann, M.; Jeunesse, P., A new inference strategy for general population mortality tables, ASTIN Bulletin, 50, 2, 325-356 (2020) · Zbl 1444.91190
[60] Bravo, J. M., Pricing Longevity Bonds Using Affine-Jump Diffusion Models (2011), University of Evora, CEFAGE-UE Working Papers 2011_29
[61] Bravo, J. M.; El Mekkaoui de Freitas, N., Valuation of longevity-linked life annuities, Insurance. Mathematics & Economics, 78, 212-229 (2018) · Zbl 1398.91316
[62] Bravo, J. M.; Nunes, J. P.V., Pricing longevity derivatives via Fourier transforms, Insurance. Mathematics & Economics, 96, C, 81-97 (2021) · Zbl 1460.91212
[63] Brockett, P. L.; Chuang, S.-L.; Deng, Y.; MacMinn, R. D., Incorporating longevity risk and medical information into life settlement pricing, The Journal of Risk and Insurance, 80, 799-826 (2013)
[64] Brouhns, N.; Denuit, M.; Van Keilegom, I., Bootstrapping the Poisson log-bilinear model for mortality forecasting, Scandinavian Actuarial Journal, 2005, 212-224 (2005) · Zbl 1092.91038
[65] Brouhns, N.; Denuit, M.; Vermunt, J. K., A Poisson log-bilinear regression approach to the construction of projected lifetables, Insurance. Mathematics & Economics, 31, 373-393 (2002) · Zbl 1074.62524
[66] Brouhns, N.; Denuit, M.; Vermunt, J., Measuring the longevity risk in mortality projections, Bulletin of the Swiss Association of Actuaries, 2, 105-130 (2002) · Zbl 1187.62158
[67] Brown, J.; Warshawsky, M., The life care annuity: a new empirical examination of an insurance innovation which addresses problems in the markets for life annuities and long-term care insurance, The Journal of Risk and Insurance, 80, 677-704 (2013)
[68] Bruszas, S.; Kaschützke, B.; Maurer, R.; Siegelin, I., Unisex pricing of German participating life annuities—boon or bane for customer and insurance company?, Insurance. Mathematics & Economics, 78, 230-245 (2018) · Zbl 1398.91317
[69] Beutner, E.; Reese, S.; Urbain, J., Identifiability issues of age-period and age-period-cohort models of the Lee-Carter type, Insurance. Mathematics & Economics, 75, 117-125 (2017) · Zbl 1394.91188
[70] Bugler, N.; Maclean, K.; Nicenko, V.; Tedesco, P., Reinsurance side-cars: the next stage in the development of the longevity risk transfer market, North American Actuarial Journal, 25, S1, S25-S39 (2021)
[71] Cairns, A. J.G., Robust hedging of longevity risk, The Journal of Risk and Insurance, 80, 621-648 (2013)
[72] Cairns, A. J.G.; Blake, D.; Dowd, K., Pricing death: frameworks for the valuation and securitization of mortality risk, ASTIN Bulletin, 36, 79-120 (2006) · Zbl 1162.91403
[73] Cairns, A. J.G.; Blake, D.; Dowd, K., A two-factor model for stochastic mortality with parameter uncertainty: theory and calibration, The Journal of Risk and Insurance, 73, 687-718 (2006)
[74] Cairns, A. J.G.; Blake, D.; Dowd, K., Modelling and management of mortality risk: a review, Scandinavian Actuarial Journal, 2-3, 79-113 (2008) · Zbl 1224.91048
[75] Cairns, A. J.G.; Blake, D.; Dowd, K.; Coughlan, G. D.; Epstein, D.; Khalaf-Allah, M., Mortality density forecasts: an analysis of six stochastic mortality models, Insurance. Mathematics & Economics, 48, 355-367 (2011)
[76] Cairns, A. J.G.; Blake, D.; Dowd, K.; Coughlan, G. D.; Khalaf-Allah, M., Bayesian stochastic mortality modelling for two populations, ASTIN Bulletin, 41, 29-59 (2011)
[77] Cairns, A. J.G.; Blake, D.; Dowd, K.; Coughlan, G. D.; Epstein, D.; Ong, A.; Balevich, I., A quantitative comparison of stochastic mortality models using data from England & Wales and the United States, North American Actuarial Journal, 13, 1-35 (2009)
[78] Cairns, A. J.; Blake, D.; Dowd, K.; Kessler, A. R., Phantoms never die: living with unreliable population data, Journal of the Royal Statistical Society. Series A. Statistics in Society, 179, 4, 975-1005 (2016)
[79] Cairns, A. J.G.; Blake, D.; Kessler, A. R.; Kessler, M., The Impact of Covid-19 on Future Higher-Age Mortality (2020), Pensions Institute Discussion Paper WP2007, 19 May
[80] Cairns, A. J.; Dowd, K.; Blake, D.; Coughlan, G. D., Longevity hedge effectiveness: a decomposition, Quantitative Finance, 14, 217-235 (2014) · Zbl 1294.91072
[81] Cairns, A. J.G.; El Boukfaoui, G., Basis risk in index based longevity hedges: a guide for longevity hedgers, North American Actuarial Journal, 25, S1, S97-S118 (2021) · Zbl 1467.91137
[82] Cannon, E.; Tonks, I.; Yuille, R., The effect of the reforms to compulsion on annuity demand, National Institute Economic Review, 237, August, R47-R54 (2016)
[83] Chan, W.-S.; Li, J. S.-H.; Li, J., The CBD mortality indexes: modeling and applications, North American Actuarial Journal, 18, 1, 38-58 (2014) · Zbl 1412.91037
[84] Chang, C.-K.; Yue, J. C.; Chen, C.-J.; Chen, Y.-W., Mortality differential and social insurance: a case study in Taiwan, North American Actuarial Journal, 25, S1, S582-S592 (2021)
[85] Chen, A.; Rach, M., Options on tontines: an innovative way of combining tontines and annuities, Insurance. Mathematics & Economics, 89, C, 182-192 (2019) · Zbl 1427.91221
[86] Chen, A.; Rach, M.; Sehner, T., On the optimal combination of annuities and tontines, ASTIN Bulletin, 50, 1, 95-129 (2020) · Zbl 1431.91320
[87] Chen, B.; Zhang, L.; Zhao, L., On the robustness of longevity risk pricing, Insurance. Mathematics & Economics, 47, 358-373 (2010) · Zbl 1231.91426
[88] Chen, H.; Cox, S. H., Modeling mortality with jumps: applications to mortality securitization, The Journal of Risk and Insurance, 76, 727-751 (2009)
[89] Chen, H.; Cummins, J. D., Longevity bond premiums: the extreme value approach and risk cubic pricing, Insurance. Mathematics & Economics, 46, 150-161 (2010) · Zbl 1231.91427
[90] Chen, H.; MacMinn, R. D.; Sun, T., Multi-population mortality models: a factor copula approach, Insurance. Mathematics & Economics, 63, 135-146 (2015) · Zbl 1348.91131
[91] Chen, H.; MacMinn, R. D.; Sun, T., Mortality dependence and longevity bond pricing: a dynamic factor copula mortality model with the GAS structure, The Journal of Risk and Insurance, 84, S1, 393-415 (2017)
[92] Chen, H.; Sherris, M.; Sun, T.; Zhu, W., Living with ambiguity: pricing mortality-linked securities with smooth ambiguity preferences, The Journal of Risk and Insurance, 80, 705-732 (2013)
[93] Chen, R. Y.; Millossovich, P., Sex-specific mortality forecasting for UK countries: a coherent approach, European Actuarial Journal, 8, 1, 69-95 (2018) · Zbl 1416.91163
[94] Christensen, K.; Vaupel, J. W., Determinants of longevity: genetic, environmental and medical factors, Journal of Internal Medicine, 240, 6, 333-341 (1996)
[95] Chuang, S.-L.; Brockett, P. L., Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transforms, North American Actuarial Journal, 18, 1, 22-37 (2014) · Zbl 1412.91040
[96] Cocco, J. F.; Gomes, F. J., Hedging Longevity Risk (2008), London Business School, Discussion Paper
[97] Cocco, J. F.; Gomes, F. J., Longevity risk, retirement savings, and financial innovation, Journal of Financial Economics, 103, 507-529 (2012)
[98] Coelho, E.; Nunes, L. C., Forecasting mortality in the event of a structural change, Journal of the Royal Statistical Society. Series A. Statistics in Society, 174, 713-736 (2011)
[99] Coughlan, G. D.; Epstein, D.; Sinha, A.; Honig, P., q-Forwards: Derivatives for Transferring Longevity and Mortality Risks (2007), J.P. Morgan: J.P. Morgan London
[100] Coughlan, G. D.; Khalaf-Allah, M.; Ye, Y.; Kumar, S.; Cairns, A. J.G.; Blake, D.; Dowd, K., Longevity hedging 101: a framework for longevity basis risk analysis and hedge effectiveness, North American Actuarial Journal, 15, 150-176 (2011)
[101] Cowley, A.; Cummins, J. D., Securitization of life insurance assets and liabilities, The Journal of Risk and Insurance, 72, 193-226 (2005)
[102] Cox, S. H.; Lin, Y., Natural hedging of life and annuity mortality risks, North American Actuarial Journal, 11, 1-15 (2007)
[103] Cox, S. H.; Lin, Y.; Liu, S., Optimal longevity risk transfer and investment strategies, North American Actuarial Journal, 25, S1, S40-S65 (2021) · Zbl 1465.91093
[104] Cox, S. H.; Lin, Y.; Pedersen, H., Mortality risk modeling: applications to insurance securitization, Insurance. Mathematics & Economics, 46, 242-253 (2010) · Zbl 1231.91168
[105] Cox, S. H.; Lin, Y.; Shi, T., Pension risk management with funding and buyout options, Insurance. Mathematics & Economics, 78, 183-200 (2018) · Zbl 1398.91322
[106] Cox, S. H.; Lin, Y.; Tian, R.; Yu, J., Managing capital market and longevity risks in a defined benefit pension plan, The Journal of Risk and Insurance, 80, 585-620 (2013)
[107] Cox, S. H.; Lin, Y.; Tian, R.; Zuluaga, L. F., Mortality portfolio risk management, The Journal of Risk and Insurance, 80, 853-890 (2013)
[108] Cupido, K.; Jevtić, P.; Paez, A., Spatial patterns of mortality in the United States: a spatial filtering approach, Insurance. Mathematics & Economics, 95, C, 28-38 (2020) · Zbl 1452.91243
[109] Currie, I. D., Modelling and forecasting mortality of the very old, ASTIN Bulletin, 41, 419-427 (2011)
[110] Currie, I. D., On fitting generalized linear and non-linear models of mortality, Scandinavian Actuarial Journal, 2016, 356-383 (2016) · Zbl 1401.91123
[111] Currie, I. D., Constraints, the identifiability problem and the forecasting of mortality, Annals of Actuarial Science, 14, 2, 537-566 (2020)
[112] Currie, I.; Durbán, M.; Eilers, P., Smoothing and forecasting mortality rates, Statistical Modelling, 4, 4, 279-298 (2004) · Zbl 1061.62171
[113] Czado, C.; Delwarde, A.; Denuit, M., Bayesian Poisson log-linear mortality projections, Insurance. Mathematics & Economics, 36, 260-284 (2005) · Zbl 1110.62142
[114] Dahl, M., Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts, Insurance. Mathematics & Economics, 35, 113-136 (2004) · Zbl 1075.62095
[115] Dahl, M.; Møller, T., Valuation and hedging of life insurance risks with systematic mortality risk, Insurance. Mathematics & Economics, 39, 193-217 (2006) · Zbl 1201.91089
[116] D’Amato, V.; Di Lorenzo, E.; Haberman, S.; Russolillo, M.; Sibillo, M., The Poisson log-bilinear Lee-Carter model: applications of efficient bootstrap methods to annuity analyses, North American Actuarial Journal, 15, 315-333 (2011)
[117] D’Amato, V.; Di Lorenzo, E.; Haberman, S.; Sagoo, P.; Sibillo, M., De-risking strategy: longevity spread buy-in, Insurance. Mathematics & Economics, 79, 124-136 (2018) · Zbl 1401.91125
[118] D’Amato, V.; Di Lorenzo, E.; Sibillo, M., Dread disease and cause-specific mortality: exploring new forms of insured loans, Risks, 6, 13 (2018)
[119] D’Amato, V.; Haberman, S.; Piscopo, G.; Russolillo, M., Modelling dependent data for longevity projections, Insurance. Mathematics & Economics, 51, 694-701 (2012) · Zbl 1285.91054
[120] D’Amato, V.; Haberman, S.; Piscopo, G.; Russolillo, M.; Trapani, L., Detecting common longevity trends by a multiple population approach, North American Actuarial Journal, 18, 1, 139-149 (2014) · Zbl 1412.91041
[121] D’Amato, V.; Haberman, S.; Russolillo, M., The stratified sampling bootstrap: an algorithm for measuring the uncertainty in forecast mortality rates in the Poisson Lee-Carter setting, Methodology and Computing in Applied Probability, 14, 1, 135-148 (2012) · Zbl 1362.62182
[122] Danesi, I. L.; Haberman, S.; Millossovich, P., Forecasting mortality in subpopulations using Lee-Carter type models: a comparison, Insurance. Mathematics & Economics, 62, 151-161 (2015) · Zbl 1318.91109
[123] Darkiewicz, G.; Hoedemakers, T., How the Cointegration Analysis can Help in Mortality Forecasting (2004), Catholic University of Leuven, Discussion Paper
[124] Dawson, P.; Blake, D.; Cairns, A. J.G.; Dowd, K., Survivor derivatives: a consistent pricing framework, The Journal of Risk and Insurance, 77, 579-596 (2010)
[125] Dawson, P.; Dowd, K.; Cairns, A. J.G.; Blake, D., Options on normal underlyings with an application to the pricing of survivor swaptions, The Journal of Futures Markets, 29, 8, 757-774 (2009)
[126] Debón, A.; Chaves, L.; Haberman, S.; Villa, F., Characterization of between-group inequality of longevity in European Union countries, Insurance. Mathematics & Economics, 75, 151-165 (2017) · Zbl 1394.62140
[127] Debonneuil, E., Simple model of mortality trends aiming at universality: Lee Carter + Cohort, Quantitative Finance Papers (2010)
[128] Debonneuil, E.; Eyraud-Loisel, A.; Planchet, F., Can pension funds partially manage longevity risk by investing in a longevity megafund?, Risks, 6, 67 (2018)
[129] Debonneuil, E.; Loisel, S.; Planchet, F., Do actuaries believe in longevity deceleration?, Insurance. Mathematics & Economics, 78, 325-338 (2018) · Zbl 1400.91244
[130] De Jong, P.; Tickle, L., Extending Lee-Carter mortality forecasting, Mathematical Population Studies, 13, 1, 1-18 (2006) · Zbl 1151.91742
[131] De Jong, P.; Tickle, L.; Xu, J., Coherent modeling of male and female mortality using Lee-Carter in a complex number framework, Insurance. Mathematics & Economics, 71, 130-137 (2016) · Zbl 1371.91114
[132] De Jong, P.; Tickle, L.; Xu, J., A more meaningful parameterization of the Lee-Carter model, Insurance. Mathematics & Economics, 94, C, 1-8 (2020) · Zbl 1452.91267
[133] Delwarde, A.; Denuit, M.; Eilers, P., Smoothing the Lee-Carter and Poisson log-bilinear models for mortality forecasting: a penalised log-likelihood approach, Statistical Modelling, 7, 29-48 (2007) · Zbl 07257671
[134] Deng, Y.; Brockett, P.; MacMinn, R., Pricing Life Settlements (2011), Center for Risk Management and Insurance, University of Texas, Working Paper
[135] Deng, Y.; Brockett, P.; MacMinn, R., Longevity/mortality risk modeling and securities pricing, The Journal of Risk and Insurance, 79, 697-721 (2012)
[136] Denuit, M. M., An index for longevity risk transfer, Journal of Computational and Applied Mathematics, 230, 411-417 (2009) · Zbl 1173.91443
[137] Denuit, M. M.; Devolder, P.; Goderniaux, A., Securitization of longevity risk: pricing survivor bonds with Wang transform in the Lee-Carter framework, The Journal of Risk and Insurance, 74, 87-113 (2007)
[138] Denuit, M. M.; Haberman, S.; Renshaw, A., Longevity-contingent deferred life annuities, Journal of Pension Economics & Finance, 14, 3, 315-327 (2015)
[139] Deprez, P.; Shevchenko, P. V.; Wüthrich, M. V., Machine learning techniques for mortality modeling, European Actuarial Journal, 7, 2, 337-352 (2017) · Zbl 1405.91254
[140] Donnelly, C., Quantifying mortality risk in small defined-benefit pension schemes, Scandinavian Actuarial Journal, 2014, 1, 41-57 (2014) · Zbl 1401.91132
[141] Dowd, K.; Blake, D.; Cairns, A. J.G., A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks, North American Actuarial Journal, 15, 237-247 (2011) · Zbl 1228.91031
[142] Dowd, K.; Blake, D.; Cairns, A. J.G.; Dawson, P., Survivor swaps, The Journal of Risk and Insurance, 73, 1-17 (2006)
[143] Dowd, K.; Buckner, D.; Blake, D.; Fry, J., The valuation of no-negative equity guarantees and equity release mortgages, Economics Letters, 184, Article 108669 pp. (2019) · Zbl 1422.91340
[144] Dowd, K.; Cairns, A. J.G.; Blake, D., CBDX: a workhorse mortality model from the Cairns-Blake-Dowd family, Annals of Actuarial Science, 14, 2, 445-460 (2020)
[145] Dowd, K.; Cairns, A. J.G.; Blake, D., Hedging annuity risks with the age-period-cohort two-population gravity model, North American Actuarial Journal, 25, S1, S170-S182 (2021) · Zbl 1461.91243
[146] Dowd, K.; Cairns, A. J.G.; Blake, D.; Coughlan, G. D.; Epstein, D.; Khalaf-Allah, M., Evaluating the goodness of fit of stochastic mortality models, Insurance. Mathematics & Economics, 47, 255-265 (2010) · Zbl 1231.91179
[147] Dowd, K.; Cairns, A. J.G.; Blake, D.; Coughlan, G. D.; Epstein, D.; Khalaf-Allah, M., Backtesting stochastic mortality models: an ex-post evaluation of multi-period-ahead density forecasts, North American Actuarial Journal, 14, 281-298 (2010)
[148] Dowd, K.; Cairns, A. J.G.; Blake, D.; Coughlan, G. D.; Khalaf-Allah, M., A gravity model of mortality rates for two related populations, North American Actuarial Journal, 15, 334-356 (2011) · Zbl 1228.91032
[149] Dugravot, A.; Fayosse, A.; Dumurgier, J.; Bouillon, K.; Rayana, T.; Schnitzler, A.; Kivimaki, M.; Sabia, S.; Singh-Manoux, A., Social inequalities in multimorbidity, frailty, disability, and transitions to mortality: a 24-year follow-up of the Whitehall II cohort study, The Lancet: Public Health (2019), 11 December
[150] Dutton, L.; Pantelous, A. A.; Seklecka, M., The impact of economic growth in mortality modelling for selected OECD countries, Journal of Forecasting, 39, 3, 533-550 (2019)
[151] Ediev, D. M., Robust backward population projections made possible, International Journal of Forecasting, 27, 4, 1241-1247 (2011)
[152] Enchev, V.; Kleinow, T.; Cairns, A., Multi-population mortality models: fitting, forecasting and comparisons, Scandinavian Actuarial Journal, 2017, 4, 319-342 (2017) · Zbl 1401.62206
[153] Feldstein, M.; Horioka, C., Domestic saving and international capital flows, Economic Journal, 90, 358, 314-329 (1980)
[154] Ford, N.; Horioka, C. Y., The ‘Real’ Explanation of the PPP Puzzle (2016), Osaka University: Osaka University Ibaraki, Osaka, Japan, Institute of Social and Economic Research, Discussion Paper No. 969
[155] Ford, N.; Horioka, C. Y., The ‘real’ explanation of the Feldstein-Horioka puzzle, Applied Economics Letters, 24, 20, 95-97 (2017)
[156] Friedberg, L.; Webb, A., Life is cheap: using mortality bonds to hedge aggregate mortality risk, The B.E. Journal in Economic Analysis & Policy, 7, 1, Article 31 pp. (2007)
[157] Gaille, S.; Sherris, M., Modelling mortality with common stochastic long-run trends, The Geneva Papers on Risk and Insurance. Issues and Practice, 36, 595-621 (2011)
[158] Gao, H.; Mamon, R.; Liu, X.; Tenyakov, A., Mortality modelling with regime-switching for the valuation of a guaranteed annuity option, Insurance. Mathematics & Economics, 63, 108-120 (2015) · Zbl 1348.91145
[159] Gbari, S.; Poulain, M.; Dal, L.; Denuit, M., Extreme value analysis of mortality at the oldest ages: a case study based on individual ages at death, North American Actuarial Journal, 21, 3, 397-416 (2017) · Zbl 1414.91190
[160] Gemmo, I.; Rogalla, R.; Weinert, J.-H., Optimal portfolio choice with tontines under systematic longevity risk, Annals of Actuarial Science, 14, 2, 302-315 (2020)
[161] Gompertz, B., On the nature of the function expressive of the law of human mortality, and on a new mode of determining the value of life contingencies, Philosophical Transactions of the Royal Society, 115, 513-585 (1825)
[162] Gong, G.; Webb, A., Evaluating the advanced life deferred annuity: an annuity people might actually buy, Insurance. Mathematics & Economics, 46, 210-221 (2010) · Zbl 1231.91189
[163] Goodhart, C.; Pradhan, M., The Great Demographic Reversal: Ageing Societies, Waning Inequality, and an Inflation Revival (2020), Palgrave Macmillan: Palgrave Macmillan London
[164] Gourieroux, C.; Lu, Y., Love and death: a Freund model with frailty, Insurance. Mathematics & Economics, 63, 191-203 (2015) · Zbl 1348.62237
[165] Gourieroux, C.; Monfort, A., Quadratic stochastic intensity and prospective mortality tables, Insurance. Mathematics & Economics, 43, 174-184 (2008) · Zbl 1140.91418
[166] Guibert, Q.; Lopez, O.; Piette, P., Forecasting mortality rate improvements with a high-dimensional VAR, Insurance. Mathematics & Economics, 88, 255-272 (2019) · Zbl 1425.91223
[167] Guo, G.; Bauer, D., Different shades of risk: mortality trends implied by term insurance prices, North American Actuarial Journal, 25, S1, S156-S169 (2021) · Zbl 1467.91140
[168] Haberman, S.; Renshaw, A., On age-period-cohort parametric mortality rate projections, Insurance. Mathematics & Economics, 45, 255-270 (2009) · Zbl 1231.91195
[169] Haberman, S.; Renshaw, A., A comparative study of parametric mortality projection models, Insurance. Mathematics & Economics, 48, 35-55 (2011)
[170] Haberman, S.; Renshaw, A., Parametric mortality improvement rate modelling and projecting, Insurance. Mathematics & Economics, 50, 309-333 (2012) · Zbl 1237.91129
[171] Haberman, S.; Renshaw, A., Modelling and projecting mortality improvement rates using a cohort perspective, Insurance. Mathematics & Economics, 53, 150-168 (2013) · Zbl 1284.91236
[172] Hainaut, D., Multidimensional Lee-Carter model with switching mortality processes, Insurance. Mathematics & Economics, 50, 236-246 (2012) · Zbl 1235.91091
[173] Hainaut, D., A neural-network analyzer for mortality forecast, ASTIN Bulletin, 48, 481-508 (2018) · Zbl 1390.91186
[174] Hanbali, H.; Denuit, M.; Dhaene, J.; Trufin, J., A dynamic equivalence principle for systematic longevity risk management, Insurance. Mathematics & Economics, 86, C, 158-167 (2019) · Zbl 1411.91283
[175] Hanewald, K., Explaining mortality dynamics: the role of macroeconomic fluctuations and cause of death trends, North American Actuarial Journal, 15, 290-314 (2011)
[176] Hari, N.; De Waegenaere, A.; Melenberg, B.; Nijman, T., Estimating the term structure of mortality, Insurance. Mathematics & Economics, 42, 492-504 (2008) · Zbl 1152.91585
[177] Harrison, D.; Blake, D., A Healthier Way to De-Risk: The Introduction of Medical Underwriting to the Defined Benefit De-Risking Market (2013), Pensions Institute: Pensions Institute London, Available at
[178] Hatzopoulos, P.; Haberman, S., A parameterized approach to modeling and forecasting mortality, Insurance. Mathematics & Economics, 44, 103-123 (2009) · Zbl 1156.91394
[179] Hatzopoulos, P.; Haberman, S., A dynamic parameterization modeling for the age-period-cohort mortality, Insurance. Mathematics & Economics, 49, 155-174 (2011) · Zbl 1218.91082
[180] Heligman, L.; Pollard, J. H., The age pattern of mortality, Journal of the Institute of Actuaries, 107, 1, 49-80 (1980)
[181] Hilton, J.; Dodd, E.; Forster, J. J.; Smith, P. W.F., Projecting UK mortality by using Bayesian generalized additive models, Journal of the Royal Statistical Society. Series C. Applied Statistics, 68, 1, 29-49 (2019)
[182] Hobcraft, J.; Menken, J.; Preston, S. H., Age, period and cohort effects in demography: a review, Population Index, 48, 1, 4-43 (1982)
[183] Horioka, C. Y.; Ford, N., A possible explanation of the ‘exchange rate disconnect puzzle’: a common solution to three macroeconomic puzzles?, Applied Economics Letters, 24, 13, 918-922 (2017)
[184] Horneff, V.; Maurer, R.; Mitchell, O. S.; Rogalla, R., Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection, Insurance. Mathematics & Economics, 63, 91-107 (2015) · Zbl 1348.91147
[185] Horneff, W. J.; Maurer, R. H.; Mitchell, O. S.; Stamos, M. Z., Asset allocation and location over the life cycle with investment-linked survival-contingent payouts, Journal of Banking & Finance, 33, 1688-1699 (2009)
[186] Horneff, W. J.; Maurer, R.; Rogalla, R., Dynamic portfolio choice with deferred annuities, Journal of Banking & Finance, 34, 2652-2664 (2010)
[187] Horneff, W. J.; Maurer, R. H.; Stamos, M. Z., Life-cycle asset allocation with annuity markets: is longevity insurance a good deal?, Journal of Economic Dynamics and Control, 32, 3590-3612 (2008) · Zbl 1181.91291
[188] Hsieh, M.-H.; Tsai, J. C.; Wang, J. L., Mortality risk management under the factor copula framework - with applications to insurance policy pools, North American Actuarial Journal, 25, S1, S119-S131 (2021) · Zbl 1466.91263
[189] Hsieh, M.-H.; Wang, J. L.; Chiu, Y.-F.; Chen, Y.-C., Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach, Insurance. Mathematics & Economics, 78, 246-254 (2018) · Zbl 1398.91332
[190] Huang, H.-C.; Wang, C.-W.; Miao, Y.-C., Securitization of crossover risk in reverse mortgages, The Geneva Papers on Risk and Insurance. Issues and Practice, 36, 622-647 (2011)
[191] Huang, H.; Milevsky, M.; Salisbury, T. S., Optimal retirement consumption with a stochastic force of mortality (2012) · Zbl 1284.91162
[192] Hunt, A.; Blake, D., A general procedure for constructing mortality models, North American Actuarial Journal, 18, 1, 116-138 (2014) · Zbl 1412.91045
[193] Hunt, A.; Blake, D., Modelling longevity bonds: analysing the Swiss Re Kortis bond, Insurance. Mathematics & Economics, 63, 12-29 (2015) · Zbl 1348.91150
[194] Hunt, A.; Blake, D., The Good, the Bad and the Healthy: the Medical Underwriting Revolution in the Defined Benefit De-risking Market (2016), Pensions Institute, January
[195] Hunt, A.; Blake, D., Modelling mortality for pension schemes, ASTIN Bulletin, 47, 2, 481-508 (2017) · Zbl 1390.91189
[196] Hunt, A.; Blake, D., Identifiability, cointegration and the gravity model, Insurance. Mathematics & Economics, 78, 360-368 (2018) · Zbl 1400.91248
[197] Hunt, A.; Blake, D., Identifiability in age/period mortality models, Annals of Actuarial Science, 14, 2, 461-499 (2020)
[198] Hunt, A.; Blake, D., Identifiability in age/period/cohort mortality models, Annals of Actuarial Science, 14, 2, 500-536 (2020)
[199] Hunt, A.; Blake, D., On the structure and classification of mortality models, North American Actuarial Journal, 25, S1, S215-S234 (2021) · Zbl 1461.91244
[200] Hunt, A.; Blake, D., A Bayesian approach to modelling and projecting cohort effects, North American Actuarial Journal, 25, S1, S235-S254 (2021) · Zbl 1461.91245
[201] Hunt, A.; Blake, D., Forward mortality rates in discrete time I: calibration and securities pricing, North American Actuarial Journal, 25, S1, S482-S507 (2021) · Zbl 1461.91246
[202] Hunt, A.; Blake, D., Forward mortality rates in discrete time II: longevity risk and hedging strategies, North American Actuarial Journal, 25, S1, S508-S533 (2021) · Zbl 1461.91247
[203] Hyndman, R.; Booth, H.; Yasmeen, F., Coherent mortality forecasting the product-ratio method with functional time series models, Demography, 50, 261-283 (2013)
[204] Ignatieva, K.; Song, A.; Ziveyi, J., Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality, ASTIN Bulletin, 48, 1, 139-169 (2018) · Zbl 1390.91190
[205] International Monetary Fund, The financial impact of longevity risk, (Global Financial Stability Report (2012)), Chapter 4. April, Washington DC
[206] Jarner, S.r. F.; Kryger, E. M., Modelling adult mortality in small populations: the SAINT model, ASTIN Bulletin, 41, 377-418 (2011) · Zbl 1239.91128
[207] Jarner, S.r. F.; Jallbjørn, S., Pitfalls and merits of cointegration-based mortality models, Insurance. Mathematics & Economics, 90, 80-93 (2020) · Zbl 1431.91334
[208] Jen, S., Demographic trends and the financial markets, (Morgan Stanley Fixed Income Research (2007)), 20 September
[209] Jevtić, P.; Regis, L., A continuous-time stochastic model for the mortality surface of multiple populations, Insurance. Mathematics & Economics, 88, 181-195 (2019) · Zbl 1425.91226
[210] Forum, Joint, Longevity Risk Transfer Markets: Market Structure, Growth Drivers and Impediments, and Potential Risks, Joint Forum of the Basel Committee on Banking Supervision (2013), International Organization of Securities Commissions, and International Association of Insurance Supervisors, c/o Bank for International Settlements: International Organization of Securities Commissions, and International Association of Insurance Supervisors, c/o Bank for International Settlements Basel, Switzerland, December. Available at
[211] Kang, K.; Liu, Y.; Li, J. S.-H.; Chan, W.-C., Mortality forecasting for multiple populations: an augmented common factor model with a penalized log-likelihood, Communications in Statistics: Case Studies, Data Analysis and Applications, 4, 3-4, 118-141 (2018)
[212] Kessler, A., New solutions to an age-old problem: innovative strategies for managing pension and longevity risk, North American Actuarial Journal, 25, S1, S7-S24 (2021)
[213] Kleinow, T., A common age effect model for the mortality of multiple populations, Insurance. Mathematics & Economics, 63, 147-152 (2015) · Zbl 1348.91233
[214] Kleinow, T.; Cairns, A., Mortality and smoking prevalence: an empirical investigation in ten developed countries, British Actuarial Journal, 18, 452-466 (2013)
[215] Kleinow, T.; Richards, S. J., Parameter risk in time-series mortality forecasts, Scandinavian Actuarial Journal, 2017, 9, 804-828 (2017) · Zbl 1402.91202
[216] Kogure, A.; Fushimi, T.; Kamiya, S., Mortality forecasts for long-term care subpopulations with longevity risk: a Bayesian approach, North American Actuarial Journal, 25, S1, S534-S544 (2021) · Zbl 1461.91249
[217] Kogure, A.; Kurachi, Y., A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions, Insurance. Mathematics & Economics, 46, 162-172 (2010) · Zbl 1231.91438
[218] Kogure, A.; Li, J.; Kamiya, S., A Bayesian multivariate risk-neutral method for pricing reverse mortgages, North American Actuarial Journal, 18, 1, 242-257 (2014) · Zbl 1412.91047
[219] Koijen, R. S.J.; Nijman, T. E.; Werker, B. J.M., Optimal annuity risk management, Review of Finance, 15, 799-833 (2011) · Zbl 1225.91061
[220] Koissi, M.; Shapiro, A.; Hognas, G., Evaluating and extending the Lee-Carter model for mortality forecasting: bootstrap confidence interval, Insurance. Mathematics & Economics, 38, 1-20 (2006) · Zbl 1098.62138
[221] Kuang, D.; Nielsen, B.; Nielsen, J., Forecasting with the age-period-cohort model and the extended chain-ladder model, Biometrika, 95, 987-991 (2008) · Zbl 1437.62516
[222] Kurtbegu, E., Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets, Insurance. Mathematics & Economics, 78, 286-300 (2018) · Zbl 1398.91337
[223] Lane, M., Longevity risk from the perspective of the ILS markets, The Geneva Papers on Risk and Insurance. Issues and Practice, 36, 501-515 (2011)
[224] Lee, R. D.; Carter, L. R., Modeling and forecasting U.S. mortality, Journal of the American Statistical Association, 87, 419, 659-671 (1992) · Zbl 1351.62186
[225] Lee, Y.-T.; Kung, K.-L.; Liu, I-C., Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison, Insurance. Mathematics & Economics, 78, 255-266 (2018) · Zbl 1398.91338
[226] Leng, X.; Peng, L., Inference pitfalls in Lee-Carter model for forecasting mortality, Insurance. Mathematics & Economics, 70, 58-65 (2016) · Zbl 1371.91098
[227] Leung, M.; Fung, M. C.; O’Hare, C., A comparative study of pricing approaches for longevity instruments, Insurance. Mathematics & Economics, 82, 95-116 (2018) · Zbl 1416.91200
[228] Li, H., Dynamic hedging of longevity risk: the effect of trading frequency, ASTIN Bulletin, 48, 1, 197-232 (2018) · Zbl 1390.91194
[229] Li, H.; De Waegenaere, A.; Melenberg, B., The choice of sample size for mortality forecasting: a Bayesian learning approach, Insurance. Mathematics & Economics, 63, 153-168 (2015) · Zbl 1348.91162
[230] Li, H.; De Waegenaere, A.; Melenberg, B., Robust mean-variance hedging of longevity risk, The Journal of Risk and Insurance, 84, S1, 459-475 (2017)
[231] Li, H.; Li, H.; Lu, Y.; Panagiotelis, A., A forecast reconciliation approach to cause-of-death mortality modeling, Insurance. Mathematics & Economics, 86, 122-133 (2019) · Zbl 1411.91298
[232] Li, H.; Lu, Y., Coherent forecasting of mortality rates: a sparse vector-autoregression approach, ASTIN Bulletin, 47, 563-600 (2017) · Zbl 1390.62215
[233] Li, H.; O’Hare, C., Semi-parametric extensions of the Cairns-Blake-Dowd model: a one-dimensional kernel smoothing approach, Insurance. Mathematics & Economics, 77, 166-176 (2017) · Zbl 1397.91290
[234] Li, H.; O’Hare, C.; Vahid, F., A flexible functional form approach to mortality modeling: do we need additional cohort dummies?, Journal of Forecasting, 36, 357-367 (2017) · Zbl 1397.33009
[235] Li, H.; O’Hare, C.; Zhang, X., A semi-parametric panel approach to mortality modeling, Insurance. Mathematics & Economics, 61, 264-270 (2015) · Zbl 1314.91141
[236] Li, H.; Tang, Q., Analyzing mortality bond indexes via hierarchical forecast reconciliation, ASTIN Bulletin, 49, 3, 823-846 (2019) · Zbl 1427.91236
[237] Li, J. S.-H., Pricing longevity risk with the parametric bootstrap: a maximum entropy approach, Insurance. Mathematics & Economics, 47, 176-186 (2010) · Zbl 1231.91441
[238] Li, J. S.-H.; Chan, W.-S., Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality, Insurance. Mathematics & Economics, 49, 81-88 (2011) · Zbl 1218.91083
[239] Li, J. S.-H.; Chan, W.; Cheung, S., Structural changes in the Lee-Carter mortality indexes: detection and implications, North American Actuarial Journal, 15, 13-31 (2011)
[240] Li, J. S.-H.; Chan, W.; Zhou, R., Semicoherent multipopulation mortality modeling: the impact on longevity risk securitization, The Journal of Risk and Insurance, 84, 3, 1025-1065 (2017)
[241] Li, J. S.-H.; Hardy, M. R., Measuring basis risk involved in longevity hedges, North American Actuarial Journal, 15, 177-200 (2011) · Zbl 1228.91042
[242] Li, J. S.-H.; Hardy, M.; Tan, K., Uncertainty in mortality forecasting: an extension to the classic Lee-Carter approach, ASTIN Bulletin, 39, 137-164 (2009) · Zbl 1203.91113
[243] Li, J. S.-H.; Li, J.; Balasooriya, U.; Zhou, K. Q., Constructing out-of-the-money longevity hedges using parametric mortality indexes, North American Actuarial Journal, 25, S1, S341-S372 (2021) · Zbl 1461.91250
[244] Li, J. S.-H.; Luo, A., Key q-duration: a framework for hedging longevity risk, ASTIN Bulletin, 42, 413-452 (2012) · Zbl 1277.91089
[245] Li, J. S.-H.; Zhou, K. Q.; Zhu, X.; Chan, W.-C.; Chan, F. W.-H., A Bayesian approach to developing a stochastic mortality model for China, Journal of the Royal Statistical Society. Series A, 182, 1523-1560 (2020)
[246] Li, J. S.-H.; Zhou, R.; Hardy, M. R., A step-by-step guide to building two-population stochastic mortality models, Insurance. Mathematics & Economics, 63, 121-134 (2015) · Zbl 1348.91164
[247] Li, N.; Lee, R. D., Coherent mortality forecasts for a group of populations: an extension of the Lee-Carter method, Demography, 42, 575-594 (2005)
[248] Li, N.; Lee, R. D.; Gerland, P., Extending the Lee-Carter method to model the rotation of age patterns of mortality decline for long-term projections, Demography, 50, 2037-2051 (2013)
[249] Li, Z.; Shao, A. W.; Sherris, M., The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates, North American Actuarial Journal, 21, 4, 594-610 (2017) · Zbl 1414.91216
[250] Lin, T.; Tsai, C. C.-L., Applications of mortality durations and convexities in natural hedges, North American Actuarial Journal, 18, 3, 417-442 (2014) · Zbl 1414.91215
[251] Lin, T.; Tsai, C. C.-L., Natural hedges with immunization strategies of mortality and interest rates, ASTIN Bulletin, 50, 1, 155-185 (2020) · Zbl 1431.91339
[252] Lin, T.; Tsai, C. C.-L., Hedging mortality/longevity risks for multiple years, North American Actuarial Journal, 24, 1, 118-140 (2020) · Zbl 1437.91397
[253] Lin, T.; Tzeng, L., An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation, Insurance. Mathematics & Economics, 46, 423-435 (2010) · Zbl 1231.91209
[254] Lin, Y.; Cox, S., Securitization of mortality risks in life annuities, The Journal of Risk and Insurance, 72, 227-252 (2005)
[255] Lin, Y.; Liu, S.; Yu, J., Pricing mortality securities with correlated mortality indexes, The Journal of Risk and Insurance, 80, 921-948 (2013)
[256] Lin, Y.; MacMinn, R. D.; Tian, R., De-risking defined benefit plans, Insurance. Mathematics & Economics, 63, 52-65 (2015) · Zbl 1348.91170
[257] Lin, Y.; MacMinn, R. D.; Tian, R.; Yu, J., Pension risk management in the enterprise risk management framework, The Journal of Risk and Insurance, 84, S1, 345-365 (2017)
[258] Lin, Y.; Shi, T.; Arik, A., Pricing buy-ins and buy-outs, The Journal of Risk and Insurance, 84, S1, 367-392 (2017)
[259] Lin, Y.; Tan, K. S.; Tian, R.; Yu, J., Downside risk management of a defined benefit plan considering longevity basis risk, North American Actuarial Journal, 18, 1, 68-86 (2014) · Zbl 1412.91048
[260] Liu, Y.; Li, J. S.-H., It’s all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk, Insurance. Mathematics & Economics, 70, 301-319 (2016) · Zbl 1371.91103
[261] Liu, Y.; Li, J. S.-H., The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk, ASTIN Bulletin, 47, 1, 79-151 (2017) · Zbl 1390.91198
[262] Liu, Y.; Li, J. S.-H., A strategy for hedging risks associated with period and cohort effects using q-forwards, Insurance. Mathematics & Economics, 78, 267-285 (2018) · Zbl 1398.91344
[263] Liu, Y.; Li, J. S.-H., An efficient method for mitigating longevity value-at-risk, North American Actuarial Journal, 25, S1, S309-S340 (2021) · Zbl 1465.91097
[264] Liu, Q.; Ling, C.; Li, D.; Peng, L., Bias-corrected inference for a modified Lee-Carter mortality model, ASTIN Bulletin, 49, 2, 433-455 (2019) · Zbl 1410.91277
[265] Longevity Basis Risk Working Group, Longevity Basis Risk: a Methodology for Assessing Basis Risk (2014), Institute and Faculty of Actuaries (IFoA) and the Life and Longevity Markets Association (LLMA): Institute and Faculty of Actuaries (IFoA) and the Life and Longevity Markets Association (LLMA) London, (Authors: Haberman, S., Kaishev, V., Villegas, A., Baxter, S., Gaches, A., Gunnlaugsson, S., and Sison, M.)
[266] Lourés, C. R.; Cairns, A. J.G., Mortality in the US by education level, Annals of Actuarial Science, 14, 2, 384-419 (2020)
[267] Ludkovski, M.; Risk, J.; Zail, H., Gaussian process models for mortality rates and improvement factors, ASTIN Bulletin, 48, 3, 1307-1347 (2018) · Zbl 1403.62193
[268] Lyu, P.; De Waegenaere, A.; Melenberg, B., A multi-population approach to forecasting all-cause mortality using causes-of-death mortality data, North American Actuarial Journal, 25, S1, S421-S456 (2021) · Zbl 1460.91231
[269] MacMinn, R.; Brockett, P., On the failure (success) of the markets for longevity risk transfer, The Journal of Risk and Insurance, 84, S1, 273-277 (2017)
[270] MacMinn, R.; Richter, A., The choice of trigger in an insurance linked security: the mortality risk case, Insurance. Mathematics & Economics, 78, 174-182 (2018) · Zbl 1398.91346
[271] MacMinn, R. D.; Zhu, N., Hedging longevity risk in life settlements using biomedical research-backed obligations, The Journal of Risk and Insurance, 84, S1, 439-458 (2017)
[272] MacMinn, R. D.; Zhu, N., Hedging longevity risk: does the structure of the financial instrument matter?, North American Actuarial Journal, 25, S1, S373-S384 (2021) · Zbl 1461.91252
[273] Mankiw, G. N.; Weil, D. N., The baby boom, the baby bust and the housing market, Regional Science and Urban Economics, 19, 235-258 (1989)
[274] Mavros, G.; Cairns, A. J.G.; Streftaris, G.; Kleinow, T., Stochastic mortality modeling: key drivers and dependent residuals, North American Actuarial Journal, 21, 3, 343-368 (2017) · Zbl 1414.91219
[275] Maurer, R.; Mitchell, O. S.; Rogalla, R.; Kartashov, V., Lifecycle portfolio choice with systematic longevity risk and variable investment-linked deferred annuities, The Journal of Risk and Insurance, 80, 649-676 (2013)
[276] Mayhew, L.; Harper, G.; Villegas, A. M., An investigation into the impact of deprivation on demographic inequalities in adults, Annals of Actuarial Science, 14, 2, 358-383 (2020)
[277] Mayhew, L.; Rickayzen, B.; Smith, D., Flexible and affordable methods of paying for long-term care insurance, North American Actuarial Journal, 25, S1, S196-S214 (2021) · Zbl 1461.91253
[278] Mayhew, L.; Smith, D., Human survival at older ages and the implications for longevity bond pricing, North American Actuarial Journal, 15, 248-265 (2011)
[279] Mayhew, L.; Smith, D., Gender convergence in human survival and the postponement of death, North American Actuarial Journal, 18, 1, 194-216 (2014) · Zbl 1412.91051
[280] Mayhew, L.; Smith, D., An investigation into inequalities in adult lifespan, North American Actuarial Journal, 25, S1, S545-S565 (2021) · Zbl 1461.91254
[281] Mayhew, L.; Smith, D.; Wright, D., The effect of longevity drift and investment volatility on income sufficiency in retirement, Insurance. Mathematics & Economics, 78, 201-211 (2018)
[282] Mazonas, P. M.; Stallard, P. J.E.; Graham, L., Longevity risk in fair valuing level-three assets in securitized portfolios, The Geneva Papers on Risk and Insurance. Issues and Practice, 36, 516-543 (2011)
[283] McCarthy, D., A cohort-based analysis of US mortality rates project rapid improvements in old-age mortality (2018)
[284] McCarthy, D.; Wang, P-L., An analysis of period and cohort mortality shocks in international data, North American Actuarial Journal, 25, S1, S385-S409 (2021) · Zbl 1461.91255
[285] McNown, R.; Rogers, A., Forecasting cause-specific mortality using time series methods, International Journal of Forecasting, 8, 3, 413-432 (1992)
[286] Meese, R.; Rogoff, K., Empirical exchange rate models of the seventies: do they fit out of sample?, Journal of International Economics, 14, 3-24 (1983)
[287] Menoncin, F., The role of longevity bonds in optimal portfolios, Insurance. Mathematics & Economics, 42, 343-358 (2008) · Zbl 1141.91537
[288] Michaelson, A.; Mulholland, J., Strategy for increasing the global capacity for longevity risk transfer: developing transactions that attract capital markets investors, The Journal of Alternative Investments, 17, 1, 18-27 (2014)
[289] Milevsky, M. A., Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age?, Insurance. Mathematics & Economics, 92, 147-161 (2020) · Zbl 1446.91068
[290] Milevsky, M. A.; Promislow, S. D., Mortality derivatives and the option to annuitize, Insurance. Mathematics & Economics, 29, 299-318 (2001) · Zbl 1074.62530
[291] Milevsky, M. A.; Salisbury, T. S., Optimal retirement income tontines, Insurance. Mathematics & Economics, 64, 91-105 (2015) · Zbl 1348.91176
[292] Milevsky, M. A.; Young, V. R., Annuitization and asset allocation, Journal of Economic Dynamics and Control, 31, 3138-3177 (2007) · Zbl 1163.91440
[293] Milidonis, A.; Efthymiou, M., Mortality leads and lags, The Journal of Risk and Insurance, 84, S1, 495-514 (2017)
[294] Milidonis, A.; Lin, Y.; Cox, S. H., Mortality regimes and pricing, North American Actuarial Journal, 15, 266-289 (2011) · Zbl 1228.91043
[295] Mitchell, D.; Brockett, P.; Mendoza-Arriaga, R.; Muthuraman, K., Modeling and forecasting mortality rates, Insurance. Mathematics & Economics, 52, 275-285 (2013) · Zbl 1284.91259
[296] Murphy, M., Re-examining the dominance of birth cohort effects on mortality, Population and Development Review, 36, 365-390 (2010)
[297] Murphy, M.; Di Cesare, M., Use of an age-period-cohort model to reveal the impact of cigarette smoking on trends in twentieth century adult cohort mortality in England & Wales, Population Studies, 66, 259-277 (2012)
[298] Neves, C.; Fernandes, C.; Hoeltgebaum, H., Five different distributions for the Lee-Carter model of mortality forecasting: a comparison using GAS models, Insurance. Mathematics & Economics, 75, 48-57 (2017) · Zbl 1394.91327
[299] Nielsen, B.; Nielsen, J., Identification and forecasting in mortality models, The Scientific World Journal, 2104, Article 347043 pp. (2014) · Zbl 1328.62575
[300] Ngai, A.; Sherris, M., Longevity risk management for life and variable annuities: the effectiveness of static hedging using longevity bonds and derivatives, Insurance. Mathematics & Economics, 49, 100-114 (2011)
[301] Njenga, C. N.; Sherris, M., Longevity risk and the econometric analysis of mortality trends and volatility, Asia-Pacific Journal of Risk and Insurance, 5, 2, 1-54 (2011)
[302] Njenga, C. N.; Sherris, M., Modeling mortality with a Bayesian vector autoregression, Insurance. Mathematics & Economics, 94, C, 40-57 (2020) · Zbl 1452.91244
[303] Obstfeld, M.; Rogoff, K., The six major puzzles in international macroeconomics: is there a common cause?, (Bernanke, B.; Rogoff, K., NBER Macroeconomics Annual 2000, vol. 15 (2000), MIT Press), 339-390
[304] O’Hare, C.; Li, Y., Identifying Structural Breaks in Stochastic Mortality Models (2012), Monash University, Discussion Paper
[305] O’Hare, C.; Li, Y., Mortality models of mortality rates: analysing the residuals, Applied Economics, 49, 5309-5323 (2017)
[306] Olivieri, A.; Pitacco, E., Assessing the cost of capital for longevity risk, Insurance. Mathematics & Economics, 42, 1013-1021 (2008) · Zbl 1141.91540
[307] Olivieri, A.; Pitacco, E., Linking annuity benefits to the longevity experience: alternative solutions, Annals of Actuarial Science, 14, 2, 316-337 (2020)
[308] Pascariu, M. D.; Canudas-Romo, V.; Vaupel, J. W., The double-gap life expectancy forecasting model, Insurance. Mathematics & Economics, 78, 339-350 (2018) · Zbl 1400.91252
[309] Pedroza, C., A Bayesian forecasting model: predicting US male mortality, Biostatistics, 7, 530-550 (2006) · Zbl 1170.62397
[310] Pitt, D.; Li, J.; Lim, T. K., Smoothing Poisson common factor model for projecting mortality jointly for both sexes, ASTIN Bulletin, 48, 2, 509-541 (2018) · Zbl 1390.91204
[311] Plat, R., On stochastic mortality modeling, Insurance. Mathematics & Economics, 45, 393-404 (2009) · Zbl 1231.91227
[312] Plat, R., Stochastic portfolio specific mortality and the quantification of mortality basis risk, Insurance. Mathematics & Economics, 45, 123-132 (2009) · Zbl 1231.91226
[313] Poterba, J. M., Demographic structure and asset returns, Review of Economics and Statistics, 83, 565-584 (2001)
[314] Prudential Regulation Authority, Solvency II: Equity Release Mortgages (2018), Consultation Paper CP13/18, July
[315] Qiao, C.; Sherris, M., Managing systematic mortality risk with group self-pooling and annuitization schemes, The Journal of Risk and Insurance, 80, 949-974 (2013)
[316] Rabbi, A. M.F.; Mazzuco, S., Mortality forecasting with the Lee-Carter method: adjusting for smoothing and lifespan disparity, European Journal of Population, 37, 1, 97-120 (2021)
[317] Raftery, A. E.; Lalic, N.; Gerland, P., Joint probabilistic projection of female and male life expectancy, Demographic Research, 30, 795-822 (2014)
[318] Renshaw, A.; Haberman, S., Lee-Carter mortality forecasting: a parallel generalized linear modelling approach for England and Wales mortality projections, Journal of the Royal Statistical Society. Series C. Applied Statistics, 52, 119-137 (2003) · Zbl 1111.62359
[319] Renshaw, A.; Haberman, S., Lee-Carter mortality forecasting with age-specific enhancement, Insurance. Mathematics & Economics, 33, 255-272 (2003) · Zbl 1103.91371
[320] Renshaw, A. E.; Haberman, S., A cohort-based extension to the Lee-Carter model for mortality reduction factors, Insurance. Mathematics & Economics, 38, 556-570 (2006) · Zbl 1168.91418
[321] Renshaw, A.; Haberman, S., On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling, Insurance. Mathematics & Economics, 42, 797-816 (2008) · Zbl 1152.91598
[322] Richards, S. J., Detecting year-of-birth mortality patterns with limited data, Journal of the Royal Statistical Society. Series A. Statistics in Society, 171, 1, 279-298 (2008)
[323] Richards, S. J.; Currie, I. D.; Kleinow, T.; Ritchie, G. P., Longevity trend risk over limited time horizons, Annals of Actuarial Science, 14, 2, 262-277 (2020)
[324] Richter, A.; Weber, F., Mortality-indexed annuities: managing longevity risk via product design, North American Actuarial Journal, 15, 212-236 (2011)
[325] Rizzi, S.; Kjærgaard, S.; Bergeron Boucher, M.-P.; Camarda, C. G.; Lindahl-Jacobsen, R.; Vaupel, J. W., Killing off cohorts: forecasting mortality of non-extinct cohorts with the penalized composite link model, International Journal of Forecasting, 37, 1, 95-104 (2021)
[326] Rogalla, R., Optimal portfolio choice in retirement with participating life annuities, North American Actuarial Journal, 25, S1, S182-S195 (2021) · Zbl 1461.91258
[327] Russo, V.; Giacometti, R.; Ortobelli, S.; Rachev, S.; Fabozzi, F., Calibrating affine stochastic mortality models using term assurance premiums, Insurance. Mathematics & Economics, 49, 53-60 (2011) · Zbl 1218.91093
[328] Russolillo, M.; Giordano, G.; Haberman, S., Extending the Lee-Carter model: a three-way decomposition, Scandinavian Actuarial Journal, 2011, 2, 96-117 (2011) · Zbl 1277.62260
[329] Salhi, Y.; Thérond, P. E., Age-specific adjustment of graduated mortality, ASTIN Bulletin, 48, 543-569 (2018) · Zbl 1390.62220
[330] Sanzenbacher, G. T.; Webb, A.; Cosgrove, C. M.; Orlova, N., Rising inequality in life expectancy by socioeconomic status, North American Actuarial Journal, 25, S1, S566-S581 (2021) · Zbl 1461.91259
[331] Schinzinger, E.; Denuit, M. M.; Christiansen, M. C., A multivariate evolutionary credibility model for mortality improvement rates, Insurance. Mathematics & Economics, 69, 70-81 (2016) · Zbl 1369.91097
[332] Schmeck, M. D.; Schmidli, H., Mortality options: the point of view of an insurer, Insurance. Mathematics & Economics, 96, C, 98-115 (2021) · Zbl 1460.91238
[333] Shang, H., Dynamic principal component regression: application to age-specific mortality forecasting, ASTIN Bulletin, 49, 3, 619-645 (2019) · Zbl 1427.91241
[334] Shang, H.; Hyndman, R., Grouped functional time series forecasting: an application to age-specific mortality rates, Journal of Computational and Graphical Statistics, 26, 2, 330-343 (2017)
[335] Shang, Z.; Goovaerts, M.; Dhaene, J., A recursive approach to mortality-linked derivative pricing, Insurance. Mathematics & Economics, 49, 240-248 (2011) · Zbl 1218.91156
[336] Shao, A. W.; Hanewald, K.; Sherris, M., Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk, Insurance. Mathematics & Economics, 63, 76-90 (2015) · Zbl 1348.91179
[337] Shen, Y.; Siu, T. K., Longevity bond pricing under stochastic interest rate and mortality with regime switching, Insurance. Mathematics & Economics, 52, 114-123 (2013) · Zbl 1291.91212
[338] Sherris, M.; Xu, Y.; Ziveyi, J., Cohort and value-based multi-country longevity risk management, Scandinavian Actuarial Journal, 2020, 7, 650-676 (2020) · Zbl 1448.91267
[339] Stevens, R.; De Waegenaere, A.; Melenberg, B., Longevity risk in pension annuities with exchange options: the effect of product design, Insurance. Mathematics & Economics, 46, 222-234 (2010) · Zbl 1231.91241
[340] Su, K. C.; Yue, J. C., A synthesis mortality model for the elderly, North American Actuarial Journal, 25, S1, S457-S481 (2021) · Zbl 1461.91261
[341] Sweeting, P. J., A trend-change extension of the Cairns-Blake-Dowd model, Annals of Actuarial Science, 5, 143-162 (2011)
[342] Tan, C. I.; Li, J.; Li, J. S.-H.; Balasooriya, U., Parametric mortality indexes: from index construction to hedging strategies, Insurance. Mathematics & Economics, 59, 285-299 (2014) · Zbl 1306.91140
[343] Thatcher, A. R.; Kannisto, V.; Vaupel, J. W., The Force of Mortality at Ages 80 to 120 (1998), Odense University Press: Odense University Press Odense, Denmark
[344] Tomas, J.; Planchet, F., Prospective mortality tables: taking heterogeneity into account, Insurance. Mathematics & Economics, 63, 169-190 (2015) · Zbl 1348.91184
[345] Torri, T.; Vaupel, J. W., Forecasting life expectancy in an international context, International Journal of Forecasting, 28, 2, 519-531 (2012)
[346] Tsai, C. C.-L.; Liang, X., Application of relational models in mortality immunization, North American Actuarial Journal, 22, 4, 509-532 (2018) · Zbl 1411.91273
[347] Tsai, C. C.-L.; Lin, T., A Bühlmann credibility approach to modeling mortality rates, North American Actuarial Journal, 21, 2, 204-227 (2017) · Zbl 1414.91237
[348] Tsai, C. C.-L.; Lin, T., Incorporating the Bühlmann credibility into mortality models to improve forecasting performances, Scandinavian Actuarial Journal, 2017, 419-440 (2017) · Zbl 1401.91198
[349] Tsai, J.; Wang, J.; Tzeng, L., On the optimal product mix in life insurance companies using conditional value at risk, Insurance. Mathematics & Economics, 46, 235-241 (2010) · Zbl 1231.91244
[350] Tzeng, L. Y.; Wang, J. L.; Tsai, J. T., Hedging longevity risk when interest rates are uncertain, North American Actuarial Journal, 15, 201-211 (2011) · Zbl 1228.91049
[351] United Nations, World Population Prospects: the 2006 Revision (2007), United Nations: United Nations New York
[352] van Berkum, F.; Antonio, K.; Vellekoop, M. H., The impact of multiple structural changes on mortality predictions, Scandinavian Actuarial Journal, 2016, 7, 581-603 (2016) · Zbl 1401.91221
[353] van Berkum, F.; Antonio, K.; Vellekoop, M. H., A Bayesian joint model for population and portfolio-specific mortality, ASTIN Bulletin, 47, 3, 681-713 (2017) · Zbl 1390.91223
[354] Venter, G.; Şahı, n. S., Parsimonious parameterization of age-period-cohort models by Bayesian shrinkage, ASTIN Bulletin, 48, 1, 1-22 (2018) · Zbl 1390.62226
[355] Villegas, A. M.; Haberman, S., On the modelling and forecasting of socio-economic mortality differentials: an application to deprivation and mortality in England, North American Actuarial Journal, 18, 1, 168-193 (2014) · Zbl 1412.91057
[356] Villegas, A. M.; Haberman, S.; Kaishev, V. K.; Millossovich, P., A comparative study of two-population models for the assessment of basis risk in longevity hedges, ASTIN Bulletin, 47, 3, 631-679 (2017) · Zbl 1390.91215
[357] Wan, C.; Bertschi, L., Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach, Insurance. Mathematics & Economics, 63, 66-75 (2015) · Zbl 1348.62248
[358] Wang, C.-W.; Huang, H.-C.; Liu, I.-C., A quantitative comparison of the Lee-Carter model under different types of non-Gaussian innovations, The Geneva Papers on Risk and Insurance. Issues and Practice, 36, 675-696 (2011)
[359] Wang, C.-W.; Huang, H.-C.; Liu, I.-C., Mortality modeling with non-Gaussian innovations and applications to the valuation of longevity swaps, The Journal of Risk and Insurance, 80, 775-798 (2013)
[360] Wang, C.-W.; Yang, S., Pricing survivor derivatives with cohort mortality dependence under the Lee-Carter framework, The Journal of Risk and Insurance, 80, 1027-1056 (2013)
[361] Wang, C.-W.; Yang, S.; Huang, H.-C., Modeling multi-country mortality dependence and its application in pricing survivor index swaps – a dynamic copula approach, Insurance. Mathematics & Economics, 63, 30-39 (2015) · Zbl 1348.62249
[362] Wang, H.; Preston, S. H., Forecasting United States mortality using cohort smoking histories, Proceedings of the National Academy of Sciences of the United States of America, 106, 393-398 (2009)
[363] Wang, H.-C.; Yue, C.-S. J.; Chong, C.-T., Mortality models and longevity risk for small populations, Insurance. Mathematics & Economics, 78, 351-359 (2018) · Zbl 1400.91254
[364] Wang, J. L.; Hsieh, M.; Chiu, Y., Using reverse mortgages to hedge longevity and financial risks for life insurers: a generalized immunization approach, The Geneva Papers on Risk and Insurance. Issues and Practice, 36, 697-717 (2011)
[365] Wang, J. L.; Huang, H.-C.; Yang, S. S.; Tsai, J. T., An optimal product mix for hedging longevity risk in life insurance companies: the immunization theory approach, The Journal of Risk and Insurance, 77, 473-497 (2010)
[366] Wang, L.; Chiu, M. C.; Wong, H. Y., Volterra mortality model: actuarial valuation and risk management with long-range dependence, Insurance. Mathematics & Economics, 96, C, 1-14 (2021) · Zbl 1460.91240
[367] Wang, L.; Valdez, E.; Piggott, J., Securitization of longevity risk in reverse mortgages, North American Actuarial Journal, 12, 345-371 (2008)
[368] Wang, Z.; Li, J. S.-H., A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds, Finance Research Letters, 16, C, 103-111 (2016)
[369] Wills, S.; Sherris, M., Securitization, structuring and pricing of longevity risk, Insurance. Mathematics & Economics, 46, 173-185 (2010) · Zbl 1231.91251
[370] Wilmoth, J. R.; Horiuchi, S., Rectangularization revisited: variability of age at death within human populations, Demography, 36, 4, 475-495 (1999)
[371] Wilmoth, J. R.; Zureick, S.; Canudas-Romo, V.; Inoue, M.; Sawyer, C., A flexible two dimensional mortality model for use in indirect estimation, Population Studies, 66, 1, 1-28 (2012)
[372] Wong, J. S.T.; Forster, J. J.; Smith, P. W.F., Bayesian mortality forecasting with overdispersion, Insurance. Mathematics & Economics, 83, 206-221 (2018) · Zbl 1406.62130
[373] Wong, T.; Chiu, M.; Wong, H., Managing mortality risk with longevity bonds when mortality rates are cointegrated, The Journal of Risk and Insurance, 84, 3, 987-1023 (2017)
[374] Xu, Y.; Sherris, M.; Ziveyi, J., Market price of longevity risk for a multi-cohort mortality model with application to longevity bond option pricing, The Journal of Risk and Insurance, 87, 3, 571-595 (2020)
[375] Yang, B.; Li, J.; Balasooriya, U., Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk, Insurance. Mathematics & Economics, 62, 16-27 (2015) · Zbl 1318.91126
[376] Yang, S. S., Securitization and tranching longevity and house price risk for reverse mortgage products, The Geneva Papers on Risk and Insurance. Issues and Practice, 36, 648-674 (2011)
[377] Yang, S. S.; Huang, H.-C.; Yeh, Y.-Y., Optimal longevity hedging framework for insurance companies considering basis and mispricing risks, The Journal of Risk and Insurance, 86, 3, 783-805 (2019)
[378] Yang, S. S.; Wang, C.-W., Pricing and securitization of multi-country longevity risk with mortality dependence, Insurance. Mathematics & Economics, 52, 157-169 (2013) · Zbl 1284.91556
[379] Yang, S. S.; Yeh, Y.-Y.; Yue, J. C.; Huang, H.-C., Understanding patterns of mortality homogeneity and heterogeneity across countries and their role in modelling mortality dynamics and hedging longevity risk, North American Actuarial Journal, 25, S1, S132-S155 (2021) · Zbl 1465.91098
[380] Yang, S. S.; Yue, J.; Huang, H.-C., Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models, Insurance. Mathematics & Economics, 46, 254-270 (2010) · Zbl 1231.91254
[381] Yang, S. S.; Yueh, M.-L.; Tang, C.-H., Valuation of the interest rate guarantee embedded in defined contribution pension plans, Insurance. Mathematics & Economics, 42, 920-934 (2008) · Zbl 1141.91554
[382] Yue, J. C.; Huang, H.-C., A study of incidence experience for Taiwan life insurance, The Geneva Papers on Risk and Insurance. Issues and Practice, 36, 718-733 (2011)
[383] Yue, J. C.; Wang, H.-C.; Leong, Y. Y.; Su, W.-P., Using Taiwan national health insurance database to model cancer incidence and mortality rates, Insurance. Mathematics & Economics, 78, 316-324 (2018) · Zbl 1400.91256
[384] Yue, J. C.; Wang, T-Y.; Wang, H.-C., Using graduation to modify the estimation of Lee-Carter model for small populations, North American Actuarial Journal, 25, S1, S410-S420 (2021) · Zbl 1461.91263
[385] Zeddouk, F.; Devolder, P., Mean reversion in stochastic mortality: why and how?, European Actuarial Journal, 10, 2, 499-525 (2020) · Zbl 1455.91231
[386] Zelenko, I., Longevity risk and the stability of retirement systems: the Chilean longevity bond case, The Journal of Alternative Investments, 17, 1, 35-54 (2014)
[387] Zhou, K. Q.; Li, J. S.-H., Dynamic longevity hedging in the presence of population basis risk: a feasibility analysis from technical and economic perspectives, The Journal of Risk and Insurance, 84, S1, 417-437 (2017)
[388] Zhou, K. Q.; Li, J. S.-H., Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk, Insurance. Mathematics & Economics, 84, 1-21 (2019) · Zbl 1419.91390
[389] Zhou, K. Q.; Li, J. S.-H., Asymmetry in mortality volatility and its implications on index-based longevity hedging, Annals of Actuarial Science, 14, 2, 278-301 (2020)
[390] Zhou, K. Q.; Li, J. S.-H., Longevity Greeks: what do insurers and capital market investors need to know?, North American Actuarial Journal, 25, S1, S66-S96 (2021) · Zbl 1465.91099
[391] Zhou, R., Modelling mortality dependence with regime-switching copulas, ASTIN Bulletin, 49, 2, 373-407 (2019) · Zbl 1458.91187
[392] Zhou, R.; Li, J. S.-H.; Tan, K. S., Economic pricing of mortality-linked securities in the presence of population basis risk, The Geneva Papers on Risk and Insurance. Issues and Practice, 36, 544-566 (2011)
[393] Zhou, R.; Li, J. S.-H.; Tan, K. S., Pricing standardized mortality securitizations: a two-population model with transitory jump effects, The Journal of Risk and Insurance, 80, 733-774 (2013)
[394] Zhou, R.; Li, J. S.-H.; Tan, K. S., Modeling longevity risk transfers as Nash bargaining problems: methodology and insights, Economic Modelling, 51, 460-472 (2015)
[395] Zhou, R.; Wang, Y.; Kaufhold, K.; Li, J. S.-H.; Tan, K. S., Modeling period effects in multi-population mortality models: applications to solvency II, North American Actuarial Journal, 18, 1, 150-167 (2014) · Zbl 1412.91060
[396] Zhu, N.; Bauer, D., Applications of forward mortality factor models in life insurance practice, The Geneva Papers on Risk and Insurance. Issues and Practice, 36, 567-594 (2011)
[397] Zhu, N.; Bauer, D., Coherent pricing of life settlements under asymmetric information, The Journal of Risk and Insurance, 80, 827-851 (2013)
[398] Zhu, N.; Bauer, D., A cautionary note on natural hedging of longevity risk, North American Actuarial Journal, 18, 1, 104-115 (2014) · Zbl 1412.91061
[399] Zhu, W.; Tan, K. S.; Wang, C.-W., Modeling multicountry longevity risk with mortality dependence: a Lévy subordinated hierarchical Archimedean copulas approach, The Journal of Risk and Insurance, 84, S1, 477-493 (2017)
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.