Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v99y2021icp395-439.html
   My bibliography  Save this article

Longevity risk and capital markets: The 2019-20 update

Author

Listed:
  • Blake, David
  • Cairns, Andrew J.G.

Abstract

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.

Suggested Citation

  • Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    • Handle: RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439
    DOI: 10.1016/j.insmatheco.2021.04.001
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167668721000640
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.insmatheco.2021.04.001?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Pitt, David & Li, Jackie & Lim, Tian Kang, 2018. "Smoothing Poisson Common Factor Model For Projecting Mortality Jointly For Both Sexes," ASTIN Bulletin, Cambridge University Press, vol. 48(2), pages 509-541, May.
    2. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2011. "Mortality density forecasts: An analysis of six stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 355-367, May.
    3. Andrew J. G. Cairns & David Blake & Kevin Dowd & Amy R. Kessler, 2016. "Phantoms never die: living with unreliable population data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 179(4), pages 975-1005, October.
    4. Denuit, M. & Haberman, S. & Renshaw, A. E., 2015. "Longevity-contingent deferred life annuities," Journal of Pension Economics and Finance, Cambridge University Press, vol. 14(3), pages 315-327, July.
    5. David Blake & Andrew Cairns & Kevin Dowd & Richard MacMinn, 2006. "Longevity Bonds: Financial Engineering, Valuation, and Hedging," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 647-672, December.
    6. Debón, A. & Chaves, L. & Haberman, S. & Villa, F., 2017. "Characterization of between-group inequality of longevity in European Union countries," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 151-165.
    7. Leng, Xuan & Peng, Liang, 2016. "Inference pitfalls in Lee–Carter model for forecasting mortality," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 58-65.
    8. Boumezoued, Alexandre & Hoffmann, Marc & Jeunesse, Paulien, 2020. "A New Inference Strategy For General Population Mortality Tables," ASTIN Bulletin, Cambridge University Press, vol. 50(2), pages 325-356, May.
    9. Chen, Hua & MacMinn, Richard & Sun, Tao, 2015. "Multi-population mortality models: A factor copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 135-146.
    10. Barrieu, Pauline & Veraart, Luitgard A. M., 2016. "Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models," LSE Research Online Documents on Economics 58742, London School of Economics and Political Science, LSE Library.
    11. Koissi, Marie-Claire & Shapiro, Arnold F. & Hognas, Goran, 2006. "Evaluating and extending the Lee-Carter model for mortality forecasting: Bootstrap confidence interval," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 1-20, February.
    12. Biffis, Enrico & Blake, David, 2010. "Securitizing and tranching longevity exposures," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 186-197, February.
    13. Horneff, Vanya & Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph, 2015. "Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 91-107.
    14. Kevin Dowd & Andrew Cairns & David Blake & Guy Coughlan & Marwa Khalaf-Allah, 2011. "A Gravity Model of Mortality Rates for Two Related Populations," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 334-356.
    15. Hainaut, Donatien, 2012. "Multidimensional Lee–Carter model with switching mortality processes," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 236-246.
    16. Rui Zhou & Johnny Siu-Hang Li & Ken Seng Tan, 2011. "Economic Pricing of Mortality-linked Securities in the Presence of Population Basis Risk," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 544-566, October.
    17. Hunt, Andrew & Blake, David, 2017. "Modelling Mortality For Pension Schemes," ASTIN Bulletin, Cambridge University Press, vol. 47(2), pages 601-629, May.
    18. D. Kuang & B. Nielsen & J. P. Nielsen, 2008. "Forecasting with the age-period-cohort model and the extended chain-ladder model," Biometrika, Biometrika Trust, vol. 95(4), pages 987-991.
    19. Sharon S Yang, 2011. "Securitisation and Tranching Longevity and House Price Risk for Reverse Mortgage Products," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 648-674, October.
    20. Colin O’hare & Youwei Li, 2017. "Models of mortality rates – analysing the residuals," Applied Economics, Taylor & Francis Journals, vol. 49(52), pages 5309-5323, November.
    21. Rui Zhou & Johnny Siu-Hang Li & Ken Seng Tan, 2013. "Pricing Standardized Mortality Securitizations: A Two-Population Model With Transitory Jump Effects," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 733-774, September.
    22. Paul Dawson & Kevin Dowd & Andrew J. G. Cairns & David Blake, 2010. "Survivor Derivatives: A Consistent Pricing Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(3), pages 579-596, September.
    23. Shao, Adam W. & Hanewald, Katja & Sherris, Michael, 2015. "Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 76-90.
    24. Yajing Xu & Michael Sherris & Jonathan Ziveyi, 2020. "Market Price of Longevity Risk for a Multi‐Cohort Mortality Model With Application to Longevity Bond Option Pricing," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(3), pages 571-595, September.
    25. Feldstein, Martin & Horioka, Charles, 1980. "Domestic Saving and International Capital Flows," Economic Journal, Royal Economic Society, vol. 90(358), pages 314-329, June.
    26. Schinzinger, Edo & Denuit, Michel & Christiansen, Marcus, 2016. "A multivariate evolutionary credibility model for mortality improvement rates," LIDAM Reprints ISBA 2016019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    27. Yijia Lin & Ken Tan & Ruilin Tian & Jifeng Yu, 2014. "Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 68-86.
    28. Plat, Richard, 2009. "On stochastic mortality modeling," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 393-404, December.
    29. Rob Hyndman & Heather Booth & Farah Yasmeen, 2013. "Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models," Demography, Springer;Population Association of America (PAA), vol. 50(1), pages 261-283, February.
    30. Debonneuil, Edouard & Loisel, Stéphane & Planchet, Frédéric, 2018. "Do actuaries believe in longevity deceleration?," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 325-338.
    31. Nicholas Bugler & Kirsty Maclean & Vladimir Nicenko & Patrick Tedesco, 2021. "Reinsurance Sidecars: The Next Stage in the Development of the Longevity Risk Transfer Market," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 25-39, February.
    32. Haberman, Steven & Renshaw, Arthur, 2013. "Modelling and projecting mortality improvement rates using a cohort perspective," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 150-168.
    33. Milevsky, Moshe A. & Salisbury, Thomas S., 2015. "Optimal retirement income tontines," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 91-105.
    34. Plat, Richard, 2009. "Stochastic portfolio specific mortality and the quantification of mortality basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 123-132, August.
    35. Dahl, Mikkel & Moller, Thomas, 2006. "Valuation and hedging of life insurance liabilities with systematic mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 193-217, October.
    36. Zeddouk, Fadoua & Devolder, Pierre, 2020. "Mean reversion in stochastic mortality: why and how?," LIDAM Reprints ISBA 2020018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    37. Chih-Kai Chang & Jack C. Yue & Chian-Jing Chen & Yen-Wen Chen, 2021. "Mortality Differential and Social Insurance: A Case Study in Taiwan," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 582-592, February.
    38. Wang, Chou-Wen & Yang, Sharon S. & Huang, Hong-Chih, 2015. "Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 30-39.
    39. Daniel Alai & Hua Chen & Daniel Cho & Katja Hanewald & Michael Sherris, 2014. "Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 217-241.
    40. Andreas Milidonis & Yijia Lin & Samuel Cox, 2011. "Mortality Regimes and Pricing," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 266-289.
    41. Boumezoued, Alexandre & Hardy, Héloïse Labit & El Karoui, Nicole & Arnold, Séverine, 2018. "Cause-of-death mortality: What can be learned from population dynamics?," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 301-315.
    42. Michael Murphy & Mariachiara Di Cesare, 2012. "Use of an age-period-cohort model to reveal the impact of cigarette smoking on trends in Twentieth-century adult cohort mortality in England and Wales," Population Studies, Taylor & Francis Journals, vol. 66(3), pages 259-277.
    43. Morton Lane, 2011. "Longevity Risk from the Perspective of the ILS Markets*," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 501-515, October.
    44. Cary Chi-Liang Tsai & Tzuling Lin, 2017. "A Bühlmann Credibility Approach to Modeling Mortality Rates," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(2), pages 204-227, April.
    45. Amy Kessler, 2021. "New Solutions to an Age-Old Problem: Innovative Strategies for Managing Pension and Longevity Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 7-24, February.
    46. Enrico Biffis & David Blake, 2014. "Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 14-21.
    47. Shang, Han Lin & Haberman, Steven, 2017. "Grouped multivariate and functional time series forecasting:An application to annuity pricing," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 166-179.
    48. Stevens, Ralph & De Waegenaere, Anja & Melenberg, Bertrand, 2010. "Longevity risk in pension annuities with exchange options: The effect of product design," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 222-234, February.
    49. Bauer Daniel & Börger Matthias & Ruß Jochen & Zwiesler Hans-Joachim, 2008. "The Volatility of Mortality," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 3(1), pages 1-29, September.
    50. Haberman, Steven & Renshaw, Arthur, 2012. "Parametric mortality improvement rate modelling and projecting," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 309-333.
    51. Kleinow, Torsten & Cairns, Andrew J.G., 2013. "Mortality and smoking prevalence: An empirical investigation in ten developed countries," British Actuarial Journal, Cambridge University Press, vol. 18(2), pages 452-466, July.
    52. Dowd, Kevin & Cairns, Andrew J. G. & Blake, David, 2020. "CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 445-460, September.
    53. Horneff, Wolfram J. & Maurer, Raimond H. & Mitchell, Olivia S. & Stamos, Michael Z., 2009. "Asset allocation and location over the life cycle with investment-linked survival-contingent payouts," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1688-1699, September.
    54. Blake, D. & Cairns, A. J. G. & Dowd, K., 2006. "Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities," British Actuarial Journal, Cambridge University Press, vol. 12(1), pages 153-197, March.
    55. Milevsky, Moshe A. & Young, Virginia R., 2007. "Annuitization and asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 3138-3177, September.
    56. Friedberg Leora & Webb Anthony, 2007. "Life Is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 7(1), pages 1-33, July.
    57. Ralph Rogalla, 2021. "Optimal Portfolio Choice in Retirement With Participating Life Annuities," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 182-195, February.
    58. D’Amato, Valeria & Di Lorenzo, Emilia & Haberman, Steven & Sagoo, Pretty & Sibillo, Marilena, 2018. "De-risking strategy: Longevity spread buy-in," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 124-136.
    59. Wong, Jackie S.T. & Forster, Jonathan J. & Smith, Peter W.F., 2018. "Bayesian mortality forecasting with overdispersion," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 206-221.
    60. Coughlan, Guy & Khalaf-Allah, Marwa & Ye, Yijing & Kumar, Sumit & Cairns, Andrew & Blake, David & Dowd, Kevin, 2011. "Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness," MPRA Paper 35743, University Library of Munich, Germany.
    61. Adrian E. Raftery & Nevena Lalic & Patrick Gerland, 2014. "Joint probabilistic projection of female and male life expectancy," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 30(27), pages 795-822.
    62. James M. Poterba, 2001. "Demographic Structure And Asset Returns," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 565-584, November.
    63. Guibert, Quentin & Lopez, Olivier & Piette, Pierrick, 2019. "Forecasting mortality rate improvements with a high-dimensional VAR," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 255-272.
    64. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Estimating the term structure of mortality," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 492-504, April.
    65. McNown, Robert & Rogers, Andrei, 1992. "Forecasting cause-specific mortality using time series methods," International Journal of Forecasting, Elsevier, vol. 8(3), pages 413-432, November.
    66. Wang, Zihe & Li, Johnny Siu-Hang, 2016. "A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds," Finance Research Letters, Elsevier, vol. 16(C), pages 103-111.
    67. Shang, Han Lin, 2019. "Dynamic Principal Component Regression: Application To Age-Specific Mortality Forecasting," ASTIN Bulletin, Cambridge University Press, vol. 49(3), pages 619-645, September.
    68. Valeria D’Amato & Steven Haberman & Gabriella Piscopo & Maria Russolillo & Lorenzo Trapani, 2014. "Detecting Common Longevity Trends by a Multiple Population Approach," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 139-149.
    69. Cocco, João F. & Gomes, Francisco J., 2012. "Longevity risk, retirement savings, and financial innovation," Journal of Financial Economics, Elsevier, vol. 103(3), pages 507-529.
    70. Yijia Lin & Sheen Liu & Jifeng Yu, 2013. "Pricing Mortality Securities With Correlated Mortality Indexes," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 921-948, December.
    71. John Wilmoth & Shiro Horiuchi, 1999. "Rectangularization revisited: Variability of age at death within human populations," Demography, Springer;Population Association of America (PAA), vol. 36(4), pages 475-495, November.
    72. Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla & Vasily Kartashov, 2013. "Lifecycle Portfolio Choice With Systematic Longevity Risk and Variable Investment—Linked Deferred Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 649-676, September.
    73. Ai, Jing & Brockett, Patrick L. & Jacobson, Allen F., 2015. "A new defined benefit pension risk measurement methodology," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 40-51.
    74. Kenneth Q. Zhou & Johnny Siu-Hang Li, 2021. "Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 66-96, February.
    75. Michael Murphy, 2010. "Reexamining the Dominance of Birth Cohort Effects on Mortality," Population and Development Review, The Population Council, Inc., vol. 36(2), pages 365-390, June.
    76. Dahl, Mikkel, 2004. "Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 113-136, August.
    77. Bauer, Daniel & Börger, Matthias & Ruß, Jochen, 2010. "On the pricing of longevity-linked securities," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 139-149, February.
    78. Emilio Bisetti & Carlo Favero, 2014. "Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 87-103.
    79. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin, 2006. "Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk," ASTIN Bulletin, Cambridge University Press, vol. 36(1), pages 79-120, May.
    80. Hanbali, Hamza & Denuit, Michel & Dhaene, Jan & Trufin, Julien, 2019. "A dynamic equivalence principle for systematic longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 158-167.
    81. Gbari, Kock Yed Ake Samuel & Poulain, Michel & Dal, Luc & Denuit, Michel, 2017. "Extreme Value Analysis of Mortality at the Oldest Ages: A Case Study Based on Individual Ages at Death," LIDAM Reprints ISBA 2017028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    82. Andrew J. G. Cairns & Ghali El Boukfaoui, 2021. "Basis Risk in Index-Based Longevity Hedges: A Guide for Longevity Hedgers," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 97-118, February.
    83. Bruszas, Sandy & Kaschützke, Barbara & Maurer, Raimond & Siegelin, Ivonne, 2018. "Unisex pricing of German participating life annuities—Boon or bane for customer and insurance company?," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 230-245.
    84. Daniel Bauer & Michael V. Fasano & Jochen Russ & Nan Zhu, 2018. "Evaluating Life Expectancy Evaluations," North American Actuarial Journal, Taylor & Francis Journals, vol. 22(2), pages 198-209, April.
    85. Leslie Mayhew & David Smith, 2011. "Human Survival at Older Ages and the Implications for Longevity Bond Pricing," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 248-265.
    86. Yang, Sharon S. & Wang, Chou-Wen, 2013. "Pricing and securitization of multi-country longevity risk with mortality dependence," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 157-169.
    87. Ediev, Dalkhat M., 2011. "Robust backward population projections made possible," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1241-1247, October.
    88. Edouard Debonneuil & Anne Eyraud-Loisel & Frédéric Planchet, 2018. "Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund?," Risks, MDPI, vol. 6(3), pages 1-27, July.
    89. Philippe Deprez & Pavel V. Shevchenko & Mario V. Wuthrich, 2017. "Machine Learning Techniques for Mortality Modeling," Papers 1705.03396, arXiv.org.
    90. Bravo, Jorge Miguel & El Mekkaoui de Freitas, Najat, 2018. "Valuation of longevity-linked life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 212-229.
    91. Brouhns, Natacha & Denuit, Michel & Vermunt, Jeroen K., 2002. "A Poisson log-bilinear regression approach to the construction of projected lifetables," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 373-393, December.
    92. Redondo Lourés, Cristian & Cairns, Andrew J. G., 2020. "Mortality in the US by education level," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 384-419, September.
    93. David McCarthy & Po-Lin Wang, 2021. "An Analysis of Period and Cohort Mortality Shocks in International Data," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 385-409, February.
    94. Cannon, Edmund & Tonks, Ian & Yuille, Rob, 2016. "The effect of the reforms to compulsion on annuity demand," National Institute Economic Review, National Institute of Economic and Social Research, vol. 237, pages 47-54, August.
    95. Nan Zhu & Daniel Bauer, 2011. "Applications of Forward Mortality Factor Models in Life Insurance Practice*," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 567-594, October.
    96. Andrew Hunt & David Blake, 2014. "A General Procedure for Constructing Mortality Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 116-138.
    97. Wai-Sum Chan & Johnny Li & Jackie Li, 2014. "The CBD Mortality Indexes: Modeling and Applications," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 38-58.
    98. Dowd, Kevin & Buckner, Dean & Blake, David & Fry, John, 2019. "The valuation of no-negative equity guarantees and equity release mortgages," Economics Letters, Elsevier, vol. 184(C).
    99. Atsuyuki Kogure & Takahiro Fushimi & Shinichi Kamiya, 2021. "Mortality Forecasts for Long-Term Care Subpopulations with Longevity Risk: A Bayesian Approach," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 534-544, February.
    100. Li, Hong & De Waegenaere, Anja & Melenberg, Bertrand, 2015. "The choice of sample size for mortality forecasting: A Bayesian learning approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 153-168.
    101. Giovanna Apicella & Michel Dacorogna & Emilia Di Lorenzo & Marilena Sibillo, 2019. "Improving the Forecast of Longevity by Combining Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 23(2), pages 298-319, April.
    102. Yuan Gao & Han Lin Shang, 2017. "Multivariate Functional Time Series Forecasting: Application to Age-Specific Mortality Rates," Risks, MDPI, vol. 5(2), pages 1-18, March.
    103. Jarner, Søren Fiig & Kryger, Esben Masotti, 2011. "Modelling Adult Mortality in Small Populations: The Saint Model," ASTIN Bulletin, Cambridge University Press, vol. 41(2), pages 377-418, November.
    104. Daniel H. Alai & Séverine Arnold (-Gaille) & Madhavi Bajekal & Andrés M. Villegas, 2018. "Mind the Gap: A Study of Cause-Specific Mortality by Socioeconomic Circumstances," North American Actuarial Journal, Taylor & Francis Journals, vol. 22(2), pages 161-181, April.
    105. Shen, Yang & Siu, Tak Kuen, 2013. "Longevity bond pricing under stochastic interest rate and mortality with regime-switching," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 114-123.
    106. Zhou, Kenneth Q. & Li, Johnny Siu-Hang, 2020. "Asymmetry in mortality volatility and its implications on index-based longevity hedging," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 278-301, September.
    107. Li, Hong & Lu, Yang, 2017. "Coherent Forecasting Of Mortality Rates: A Sparse Vector-Autoregression Approach," ASTIN Bulletin, Cambridge University Press, vol. 47(2), pages 563-600, May.
    108. Chou-Wen Wang & Hong-Chih Huang & I-Chien Liu, 2013. "Mortality Modeling With Non-Gaussian Innovations and Applications to the Valuation of Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 775-798, September.
    109. Johnny Li & Wai-Sum Chan & Siu-Hung Cheung, 2011. "Structural Changes in the Lee-Carter Mortality Indexes," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(1), pages 13-31.
    110. Gemmo, Irina & Rogalla, Ralph & Weinert, Jan-Hendrik, 2020. "Optimal portfolio choice with tontines under systematic longevity risk," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 302-315, September.
    111. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
    112. Johnny Siu-Hang Li & Jackie Li & Uditha Balasooriya & Kenneth Q. Zhou, 2021. "Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 341-372, February.
    113. Yue, Jack C. & Wang, Hsin-Chung & Leong, Yin-Yee & Su, Wei-Ping, 2018. "Using Taiwan National Health Insurance Database to model cancer incidence and mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 316-324.
    114. Li, Han & O’Hare, Colin, 2017. "Semi-parametric extensions of the Cairns–Blake–Dowd model: A one-dimensional kernel smoothing approach," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 166-176.
    115. Alex Cowley & J. David Cummins, 2005. "Securitization of Life Insurance Assets and Liabilities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 193-226, June.
    116. Hua Chen & Michael Sherris & Tao Sun & Wenge Zhu, 2013. "Living With Ambiguity: Pricing Mortality-Linked Securities With Smooth Ambiguity Preferences," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 705-732, September.
    117. Arthur Renshaw & Steven Haberman, 2003. "Lee–Carter mortality forecasting: a parallel generalized linear modelling approach for England and Wales mortality projections," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 52(1), pages 119-137, January.
    118. Gourieroux, Christian & Lu, Yang, 2015. "Love and death: A Freund model with frailty," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 191-203.
    119. Schinzinger, Edo & Denuit, Michel M. & Christiansen, Marcus C., 2016. "A multivariate evolutionary credibility model for mortality improvement rates," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 70-81.
    120. Ignatieva, Katja & Song, Andrew & Ziveyi, Jonathan, 2018. "Fourier Space Time-Stepping Algorithm For Valuing Guaranteed Minimum Withdrawal Benefits In Variable Annuities Under Regime-Switching And Stochastic Mortality," ASTIN Bulletin, Cambridge University Press, vol. 48(1), pages 139-169, January.
    121. Biffis, Enrico, 2005. "Affine processes for dynamic mortality and actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 443-468, December.
    122. Wan, Cheng & Bertschi, Ljudmila, 2015. "Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: A practical approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 66-75.
    123. Arnold-Gaille, Séverine & Sherris, Michael, 2016. "International Cause-Specific Mortality Rates: New Insights From A Cointegration Analysis," ASTIN Bulletin, Cambridge University Press, vol. 46(1), pages 9-38, January.
    124. Jorge Miguel Ventura Bravo, 2011. "Pricing Longevity Bonds Using Affine-Jump Diffusion Models," CEFAGE-UE Working Papers 2011_29, University of Evora, CEFAGE-UE (Portugal).
    125. Andrew Hunt & David Blake, 2021. "Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 508-533, February.
    126. Li, Han & O’Hare, Colin & Zhang, Xibin, 2015. "A semiparametric panel approach to mortality modeling," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 264-270.
    127. Ching-Syang Jack Yue & Hong-Chih Huang, 2011. "A Study of Incidence Experience for Taiwan Life Insurance," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 718-733, October.
    128. Andreas Richter & Frederik Weber, 2011. "Mortality-Indexed Annuities Managing Longevity Risk Via Product Design," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 212-236.
    129. Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha, 2014. "Parametric mortality indexes: From index construction to hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 285-299.
    130. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
    131. Helena Aro, 2014. "Systematic and Nonsystematic Mortality Risk in Pension Portfolios," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 59-67.
    132. Yang, Bowen & Li, Jackie & Balasooriya, Uditha, 2015. "Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 16-27.
    133. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
    134. Olivieri, Annamaria & Pitacco, Ermanno, 2020. "Linking annuity benefits to the longevity experience: alternative solutions," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 316-337, September.
    135. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    136. Kleinow, Torsten, 2015. "A common age effect model for the mortality of multiple populations," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 147-152.
    137. Nan Zhu & Daniel Bauer, 2013. "Coherent Pricing of Life Settlements Under Asymmetric Information," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 827-851, September.
    138. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
    139. Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009. "Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 676-691, March.
    140. de Jong, Piet & Tickle, Leonie & Xu, Jianhui, 2016. "Coherent modeling of male and female mortality using Lee–Carter in a complex number framework," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 130-137.
    141. Ming-Hua Hsieh & Chenghsien Jason Tsai & Jennifer L. Wang, 2021. "Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 119-131, February.
    142. Andrew J. G. Cairns & David Blake & Kevin Dowd, 2006. "A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 687-718, December.
    143. Geoffrey T. Sanzenbacher & Anthony Webb & Candace M. Cosgrove & Natalia Orlova, 2021. "Rising Inequality in Life Expectancy by Socioeconomic Status," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 566-581, February.
    144. Blake, David & Dowd, Kevin & Cairns, Andrew J.G., 2008. "Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1062-1066, June.
    145. Chen, An & Rach, Manuel, 2019. "Options on tontines: An innovative way of combining tontines and annuities," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 182-192.
    146. Neves, César & Fernandes, Cristiano & Hoeltgebaum, Henrique, 2017. "Five different distributions for the Lee–Carter model of mortality forecasting: A comparison using GAS models," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 48-57.
    147. Jennifer L. Wang & H.C. Huang & Sharon S. Yang & Jeffrey T. Tsai, 2010. "An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 473-497, June.
    148. Richards, Stephen J. & Currie, Iain D. & Kleinow, Torsten & Ritchie, Gavin P., 2020. "Longevity trend risk over limited time horizons," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 262-277, September.
    149. Kevin Dowd & Andrew Cairns & David Blake & Guy Coughlan & David Epstein & Marwa Khalaf-Allah, 2010. "Backtesting Stochastic Mortality Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 14(3), pages 281-298.
    150. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.
    151. Thomas Bernhardt & Catherine Donnelly, 2019. "Modern tontine with bequest: innovation in pooled annuity products," Papers 1903.05990, arXiv.org.
    152. Nan Li & Ronald Lee, 2005. "Coherent mortality forecasts for a group of populations: An extension of the lee-carter method," Demography, Springer;Population Association of America (PAA), vol. 42(3), pages 575-594, August.
    153. Balland, Fabrice & Boumezoued, Alexandre & Devineau, Laurent & Habart, Marine & Popa, Tom, 2020. "Mortality data reliability in an internal model," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 420-444, September.
    154. Les Mayhew & David Smith, 2021. "An Investigation into Inequalities in Adult Lifespan," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 545-565, February.
    155. Mankiw, N. Gregory & Weil, David N., 1989. "The baby boom, the baby bust, and the housing market," Regional Science and Urban Economics, Elsevier, vol. 19(2), pages 235-258, May.
    156. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.
    157. S. J. Richards, 2008. "Detecting year‐of‐birth mortality patterns with limited data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 171(1), pages 279-298, January.
    158. D’Amato, Valeria & Haberman, Steven & Piscopo, Gabriella & Russolillo, Maria, 2012. "Modelling dependent data for longevity projections," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 694-701.
    159. Beutner, Eric & Reese, Simon & Urbain, Jean-Pierre, 2017. "Identifiability issues of age–period and age–period–cohort models of the Lee–Carter type," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 117-125.
    160. Jevtić, Petar & Regis, Luca, 2019. "A continuous-time stochastic model for the mortality surface of multiple populations," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 181-195.
    161. Les Mayhew & Ben Rickayzen & David Smith, 2021. "Flexible and Affordable Methods of Paying for Long-Term Care Insurance," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 196-214, February.
    162. Hatzopoulos, P. & Haberman, S., 2011. "A dynamic parameterization modeling for the age-period-cohort mortality," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 155-174, September.
    163. Cary Chi-Liang Tsai & Xinying Liang, 2018. "Application of Relational Models in Mortality Immunization," North American Actuarial Journal, Taylor & Francis Journals, vol. 22(4), pages 509-532, October.
    164. Cox, Samuel H. & Lin, Yijia & Pedersen, Hal, 2010. "Mortality risk modeling: Applications to insurance securitization," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 242-253, February.
    165. Jennifer L Wang & Ming-hua Hsieh & Yu-fen Chiu, 2011. "Using Reverse Mortgages to Hedge Longevity and Financial Risks for Life Insurers: A Generalised Immunisation Approach," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 697-717, October.
    166. Pablo Antolin & Hans J. Blommestein, 2007. "Governments and the Market for Longevity-indexed Bonds," Financial Market Trends, OECD Publishing, vol. 2007(1), pages 153-175.
    167. Séverine Gaille & Michael Sherris, 2011. "Modelling Mortality with Common Stochastic Long-Run Trends," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 595-621, October.
    168. Li, Han & Tang, Qihe, 2019. "Analyzing Mortality Bond Indexes Via Hierarchical Forecast Reconciliation," ASTIN Bulletin, Cambridge University Press, vol. 49(3), pages 823-846, September.
    169. Maurice Obstfeld & Kenneth Rogoff, 2001. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," NBER Chapters, in: NBER Macroeconomics Annual 2000, Volume 15, pages 339-412, National Bureau of Economic Research, Inc.
    170. Kogure, Atsuyuki & Kurachi, Yoshiyuki, 2010. "A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 162-172, February.
    171. Li, Johnny Siu-Hang & Chan, Wai-Sum, 2011. "Time-simultaneous prediction bands: A new look at the uncertainty involved in forecasting mortality," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 81-88, July.
    172. Rui Zhou & Yujiao Wang & Kai Kaufhold & Johnny Li & Ken Tan, 2014. "Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 150-167.
    173. Li, Han & Li, Hong & Lu, Yang & Panagiotelis, Anastasios, 2019. "A forecast reconciliation approach to cause-of-death mortality modeling," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 122-133.
    174. Andrés Villegas & Steven Haberman, 2014. "On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 168-193.
    175. Katja Hanewald, 2011. "Explaining Mortality Dynamics," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 290-314.
    176. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    177. van Berkum, Frank & Antonio, Katrien & Vellekoop, Michel, 2017. "A Bayesian Joint Model For Population And Portfolio-Specific Mortality," ASTIN Bulletin, Cambridge University Press, vol. 47(3), pages 681-713, September.
    178. Horneff, Wolfram & Maurer, Raimond & Rogalla, Ralph, 2010. "Dynamic portfolio choice with deferred annuities," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2652-2664, November.
    179. Ludkovski, Mike & Risk, Jimmy & Zail, Howard, 2018. "Gaussian Process Models For Mortality Rates And Improvement Factors – Corrigendum," ASTIN Bulletin, Cambridge University Press, vol. 48(3), pages 1349-1349, September.
    180. Shuo-Li Chuang & Patrick Brockett, 2014. "Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 22-37.
    181. Pintao Lyu & Anja De Waegenaere & Bertrand Melenberg, 2021. "A Multi-population Approach to Forecasting All-Cause Mortality Using Cause-of-Death Mortality Data," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 421-456, February.
    182. Zhou, Rui & Li, Johnny Siu-Hang & Tan, Ken Seng, 2015. "Modeling longevity risk transfers as Nash bargaining problems: Methodology and insights," Economic Modelling, Elsevier, vol. 51(C), pages 460-472.
    183. Chen, Hua & Cummins, J. David, 2010. "Longevity bond premiums: The extreme value approach and risk cubic pricing," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 150-161, February.
    184. Danesi, Ivan Luciano & Haberman, Steven & Millossovich, Pietro, 2015. "Forecasting mortality in subpopulations using Lee–Carter type models: A comparison," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 151-161.
    185. Gong, Guan & Webb, Anthony, 2010. "Evaluating the Advanced Life Deferred Annuity -- An annuity people might actually buy," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 210-221, February.
    186. Njenga Carolyn N & Sherris Michael, 2011. "Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 5(2), pages 1-54, July.
    187. Rizzi, Silvia & Kjærgaard, Søren & Bergeron Boucher, Marie-Pier & Camarda, Carlo Giovanni & Lindahl-Jacobsen, Rune & Vaupel, James W., 2021. "Killing off cohorts: Forecasting mortality of non-extinct cohorts with the penalized composite link model," International Journal of Forecasting, Elsevier, vol. 37(1), pages 95-104.
    188. Kurtbegu, Enareta, 2018. "Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 286-300.
    189. Njenga, Carolyn Ndigwako & Sherris, Michael, 2020. "Modeling mortality with a Bayesian vector autoregression," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 40-57.
    190. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
    191. Hua Chen & Samuel H. Cox, 2009. "Modeling Mortality With Jumps: Applications to Mortality Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 727-751, September.
    192. Andrew Cairns & David Blake & Kevin Dowd & Guy Coughlan & David Epstein & Alen Ong & Igor Balevich, 2009. "A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States," North American Actuarial Journal, Taylor & Francis Journals, vol. 13(1), pages 1-35.
    193. Currie, Iain D., 2020. "Constraints, the identifiability problem and the forecasting of mortality," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 537-566, September.
    194. Richard D. MacMinn & Nan Zhu, 2021. "Hedging Longevity Risk: Does the Structure of the Financial Instrument Matter?," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 373-384, February.
    195. Stéphane Loisel, 2010. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00517902, HAL.
    196. Edouard Debonneuil, 2010. "A simple model of mortality trends aiming at universality: Lee Carter + Cohort," Papers 1003.1802, arXiv.org.
    197. Johnny Siu-Hang Li & Wai-Sum Chan & Rui Zhou, 2017. "Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 1025-1065, September.
    198. Han Li & Colin O'hare & Farshid Vahid, 2017. "A Flexible Functional Form Approach To Mortality Modeling: Do We Need Additional Cohort Dummies?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(4), pages 357-367, July.
    199. John Bongaarts, 2005. "Long-range trends in adult mortality: Models and projection methods," Demography, Springer;Population Association of America (PAA), vol. 42(1), pages 23-49, February.
    200. Chou-Wen Wang & Sharon S. Yang, 2013. "Pricing Survivor Derivatives With Cohort Mortality Dependence Under the Lee–Carter Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 1027-1056, December.
    201. MacMinn, Richard & Richter, Andreas, 2018. "The choice of trigger in an insurance linked security: The mortality risk case," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 174-182.
    202. Chen, Bingzheng & Zhang, Lihong & Zhao, Lin, 2010. "On the robustness of longevity risk pricing," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 358-373, December.
    203. Li, Johnny Siu-Hang, 2010. "Pricing longevity risk with the parametric bootstrap: A maximum entropy approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 176-186, October.
    204. Karen C. Su & Jack C. Yue, 2021. "A Synthesis Mortality Model for the Elderly," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 457-481, February.
    205. Wang, Hsin-Chung & Yue, Ching-Syang Jack & Chong, Chen-Tai, 2018. "Mortality models and longevity risk for small populations," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 351-359.
    206. Yang, Sharon S. & Yueh, Meng-Lan & Tang, Chun-Hua, 2008. "Valuation of the interest rate guarantee embedded in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 920-934, June.
    207. Kevin Dowd & David Blake & Andrew Cairns, 2011. "A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 237-247.
    208. Andrew Hunt & David Blake, 2021. "On the Structure and Classification of Mortality Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 215-234, February.
    209. Patrick L. Brockett & Shuo-li Chuang & Yinglu Deng & Richard D. MacMinn, 2013. "Incorporating Longevity Risk and Medical Information Into Life Settlement Pricing," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 799-826, September.
    210. Barbarin, Jérôme, 2008. "Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 41-55, August.
    211. Tzuling Lin & Cary Chi-Liang Tsai, 2020. "Hedging Mortality/Longevity Risks for Multiple Years," North American Actuarial Journal, Taylor & Francis Journals, vol. 24(1), pages 118-140, January.
    212. Zixi Li & Adam W. Shao & Michael Sherris, 2017. "The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multistate Latent Factor Model for Transition Rates," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(4), pages 594-610, October.
    213. Edviges Coelho & Luis C. Nunes, 2011. "Forecasting mortality in the event of a structural change," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 174(3), pages 713-736, July.
    214. Ahbab Mohammad Fazle Rabbi & Stefano Mazzuco, 2021. "Mortality Forecasting with the Lee–Carter Method: Adjusting for Smoothing and Lifespan Disparity," European Journal of Population, Springer;European Association for Population Studies, vol. 37(1), pages 97-120, March.
    215. Jarner, Søren F. & Jallbjørn, Snorre, 2020. "Pitfalls and merits of cointegration-based mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 80-93.
    216. Ugofilippo Basellini & Søren Kjærgaard & Carlo Giovanni Camarda, 2020. "An age-at-death distribution approach to forecast cohort mortality," Working Papers axafx5_3agsuwaphvlfk, French Institute for Demographic Studies.
    217. Wang, Ling & Chiu, Mei Choi & Wong, Hoi Ying, 2021. "Volterra mortality model: Actuarial valuation and risk management with long-range dependence," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 1-14.
    218. Russo, Vincenzo & Giacometti, Rosella & Ortobelli, Sergio & Rachev, Svetlozar & Fabozzi, Frank J., 2011. "Calibrating affine stochastic mortality models using term assurance premiums," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 53-60, July.
    219. Shang, Zhaoning & Goovaerts, Marc & Dhaene, Jan, 2011. "A recursive approach to mortality-linked derivative pricing," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 240-248, September.
    220. Menoncin, Francesco, 2008. "The role of longevity bonds in optimal portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 343-358, February.
    221. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
    222. Bernhardt, Thomas & Donnelly, Catherine, 2019. "Modern tontine with bequest: Innovation in pooled annuity products," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 168-188.
    223. Andrew Hunt & David Blake, 2021. "A Bayesian Approach to Modeling and Projecting Cohort Effects," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 235-254, February.
    224. Alho, Juha M., 1990. "Stochastic methods in population forecasting," International Journal of Forecasting, Elsevier, vol. 6(4), pages 521-530, December.
    225. Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015. "Bayesian Poisson log-bilinear models for mortality projections with multiple populations," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 485564, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
    226. Milevsky, Moshe A., 2020. "Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 147-161.
    227. Samuel Cox & Yijia Lin, 2007. "Natural Hedging of Life and Annuity Mortality Risks," North American Actuarial Journal, Taylor & Francis Journals, vol. 11(3), pages 1-15.
    228. Jason Hilton & Erengul Dodd & Jonathan J. Forster & Peter W. F. Smith, 2019. "Projecting UK mortality by using Bayesian generalized additive models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 68(1), pages 29-49, January.
    229. Lin, Yijia & MacMinn, Richard D. & Tian, Ruilin, 2015. "De-risking defined benefit plans," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 52-65.
    230. Qiheng Guo & Daniel Bauer, 2021. "Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 156-169, February.
    231. Blackburn, Craig & Hanewald, Katja & Olivieri, Annamaria & Sherris, Michael, 2017. "Longevity Risk Management And Shareholder Value For A Life Annuity Business," ASTIN Bulletin, Cambridge University Press, vol. 47(1), pages 43-77, January.
    232. Börger, Matthias & Schupp, Johannes, 2018. "Modeling trend processes in parametric mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 369-380.
    233. Mitchell, Daniel & Brockett, Patrick & Mendoza-Arriaga, Rafael & Muthuraman, Kumar, 2013. "Modeling and forecasting mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 275-285.
    234. Hainaut, Donatien, 2018. "A Neural-Network Analyzer for Mortality Forecast," LIDAM Reprints ISBA 2018027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    235. Hatzopoulos, P. & Haberman, S., 2009. "A parameterized approach to modeling and forecasting mortality," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 103-123, February.
    236. Renshaw, A.E. & Haberman, S., 2008. "On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 797-816, April.
    237. Yang, Sharon S. & Yue, Jack C. & Huang, Hong-Chih, 2010. "Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 254-270, February.
    238. John Wilmoth & Sarah Zureick & Vladimir Canudas-Romo & Mie Inoue & Cheryl Sawyer, 2012. "A flexible two-dimensional mortality model for use in indirect estimation," Population Studies, Taylor & Francis Journals, vol. 66(1), pages 1-28.
    239. Balter, Anne G. & Kallestrup-Lamb, Malene & Rangvid, Jesper, 2020. "Variability in pension products: a comparison study between The Netherlands and Denmark," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 338-357, September.
    240. George Mavros & Andrew J. G. Cairns & George Streftaris & Torsten Kleinow, 2017. "Stochastic Mortality Modeling: Key Drivers and Dependent Residuals," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(3), pages 343-368, July.
    241. Salhi, Yahia & Thérond, Pierre-E., 2018. "Age-Specific Adjustment Of Graduated Mortality," ASTIN Bulletin, Cambridge University Press, vol. 48(2), pages 543-569, May.
    242. Samuel H. Cox & Yijia Lin & Ruilin Tian & Jifeng Yu, 2013. "Managing Capital Market and Longevity Risks in a Defined Benefit Pension Plan," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 585-620, September.
    243. Tomas, Julien & Planchet, Frédéric, 2015. "Prospective mortality tables: Taking heterogeneity into account," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 169-190.
    244. Ludkovski, Mike & Risk, Jimmy & Zail, Howard, 2018. "Gaussian Process Models For Mortality Rates And Improvement Factors," ASTIN Bulletin, Cambridge University Press, vol. 48(3), pages 1307-1347, September.
    245. Renshaw, A.E. & Haberman, S., 2006. "A cohort-based extension to the Lee-Carter model for mortality reduction factors," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 556-570, June.
    246. Jack C. Yue & Hsin-Chung Wang & Tzu-Yu Wang, 2021. "Using Graduation to Modify the Estimation of Lee–Carter Model for Small Populations," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 410-420, February.
    247. Sharon S. Yang & Hong‐Chih Huang & Yu‐Yun Yeh, 2019. "Optimal Longevity Hedging Framework for Insurance Companies Considering Basis and Mispricing Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 86(3), pages 783-805, September.
    248. Venter, Gary & Şahın, Şule, 2018. "Parsimonious Parameterization Of Age-Period-Cohort Models By Bayesian Shrinkage," ASTIN Bulletin, Cambridge University Press, vol. 48(1), pages 89-110, January.
    249. Jeffrey Tsai & Larry Tzeng & Jennifer Wang, 2011. "Hedging Longevity Risk When Interest Rates are Uncertain," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 201-211.
    250. Carter, Lawrence R. & Lee, Ronald D., 1992. "Modeling and forecasting US sex differentials in mortality," International Journal of Forecasting, Elsevier, vol. 8(3), pages 393-411, November.
    251. Mayhew, Les & Smith, David & Wright, Douglas, 2018. "The effect of longevity drift and investment volatility on income sufficiency in retirement," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 201-211.
    252. Zhou, Kenneth Q. & Li, Johnny Siu-Hang, 2019. "Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 1-21.
    253. Yijia Lin & Samuel H. Cox, 2005. "Securitization of Mortality Risks in Life Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 227-252, June.
    254. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Khalaf-Allah, Marwa, 2011. "Bayesian Stochastic Mortality Modelling for Two Populations," ASTIN Bulletin, Cambridge University Press, vol. 41(1), pages 29-59, May.
    255. Johnny Li & Mary Hardy, 2011. "Measuring Basis Risk in Longevity Hedges," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 177-200.
    256. Haberman, Steven & Renshaw, Arthur, 2011. "A comparative study of parametric mortality projection models," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 35-55, January.
    257. Charles Yuji Horioka & Nicholas Ford, 2017. "A possible explanation of the ‘Exchange Rate Disconnect Puzzle’: a common solution to three macroeconomic puzzles?," Applied Economics Letters, Taylor & Francis Journals, vol. 24(13), pages 918-922, July.
    258. D. Kuang & B. Nielsen & J. P. Nielsen, 2008. "Forecasting with the age-period-cohort model and the extended chain-ladder model," Biometrika, Biometrika Trust, vol. 95(4), pages 987-991.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chen, Ze & Feng, Runhuan & Li, Hong & Yang, Tianyu, 2024. "Coping with longevity via hedging: Fair dynamic valuation of variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 154-169.
    2. Xiaoyi Zhang, 2022. "Optimal DC Pension Management Under Inflation Risk With Jump Diffusion Price Index and Cost of Living Process," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1253-1270, June.
    3. Apostolos Bozikas & Ioannis Badounas & Georgios Pitselis, 2022. "Pricing Longevity Bonds under a Credibility Framework with Limited Available Data," Risks, MDPI, vol. 10(5), pages 1-15, May.
    4. Carlos E. Ortiz & Charles A. Stone & Anne Zissu, 2023. "The shock of COVID‐19 and the shock of rapid vaccine development on the value of senior life settlement contracts," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 26(3), pages 393-406, October.
    5. Wang, Yan & Tian, Xu, 2023. "Underwriter strength and credit spread of corporate bond issuance," Finance Research Letters, Elsevier, vol. 58(PC).
    6. Li, Han & Liu, Haibo & Tang, Qihe & Yuan, Zhongyi, 2023. "Pricing extreme mortality risk in the wake of the COVID-19 pandemic," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 84-106.
    7. Chen, An & Li, Hong & Schultze, Mark B., 2023. "Optimal longevity risk transfer under asymmetric information," Economic Modelling, Elsevier, vol. 120(C).
    8. Tahir Choulli & Catherine Daveloose & Michèle Vanmaele, 2021. "Mortality/Longevity Risk-Minimization with or without Securitization," Mathematics, MDPI, vol. 9(14), pages 1-27, July.
    9. Nipun Agarwal & Pornpit Wongthongtham & Neerajkumari Khairwal & Kevin Coutinho, 2023. "Blockchain Application to Financial Market Clearing and Settlement Systems," JRFM, MDPI, vol. 16(10), pages 1-19, October.
    10. Yang Qiao & Chou-Wen Wang & Wenjun Zhu, 2024. "Machine learning in long-term mortality forecasting," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 340-362, April.
    11. Chen, An & Li, Hong & Schultze, Mark, 2022. "Collective longevity swap: A novel longevity risk transfer solution and its economic pricing," Journal of Economic Behavior & Organization, Elsevier, vol. 201(C), pages 227-249.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
    2. David Blake & Marco Morales & Enrico Biffis & Yijia Lin & Andreas Milidonis, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 515-532, April.
    3. David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
    4. David Blake & Christophe Courbage & Richard MacMinn & Michael Sherris, 2011. "Longevity Risk and Capital Markets: The 2010–2011 Update," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 489-500, October.
    5. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
    6. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
    7. Li, Jackie & Haberman, Steven, 2015. "On the effectiveness of natural hedging for insurance companies and pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 286-297.
    8. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2023. "Thirty years on: A review of the Lee–Carter method for forecasting mortality," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1033-1049.
    9. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
    10. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
    11. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2022. "Thirty years on: A review of the Lee-Carter method for forecasting mortality," SocArXiv 8u34d, Center for Open Science.
    12. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021. "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 200-221.
    13. Debonneuil, Edouard & Loisel, Stéphane & Planchet, Frédéric, 2018. "Do actuaries believe in longevity deceleration?," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 325-338.
    14. Lin, Tzuling & Wang, Chou-Wen & Tsai, Cary Chi-Liang, 2015. "Age-specific copula-AR-GARCH mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 110-124.
    15. Liu, Yanxin & Li, Johnny Siu-Hang, 2015. "The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 135-150.
    16. Uditha Balasooriya & Johnny Siu-Hang Li & Jackie Li, 2020. "The Impact of Model Uncertainty on Index-Based Longevity Hedging and Measurement of Longevity Basis Risk," Risks, MDPI, vol. 8(3), pages 1-27, August.
    17. Li, Johnny Siu-Hang & Liu, Yanxin, 2021. "Recent declines in life expectancy: Implication on longevity risk hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 376-394.
    18. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
    19. Jarner, Søren F. & Jallbjørn, Snorre, 2020. "Pitfalls and merits of cointegration-based mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 80-93.
    20. Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang, 2014. "Coherent mortality forecasting with generalized linear models: A modified time-transformation approach," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 194-221.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.