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Living with Ambiguity : Pricing Mortality-Linked Securities with Smooth Ambiguity Preferences
Chen, Hua - 2014
Mortality is a stochastic process. We have imprecise knowledge about the probability distribution of mortality rates in … the future. Mortality risk, therefore, can be defined in a broad term of ambiguity. In this paper, we investigate the … effects of ambiguity and ambiguity aversion on prices of mortality-linked securities. We adopt an asymmetric mortality jump …
Persistent link: https://www.econbiz.de/10013066606
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Financial Innovation for an Aging World
Mitchell, Olivia S. - 2015
on residential property price indices, mortality swaps and longevity derivative contracts. We also indicate how new …
Persistent link: https://www.econbiz.de/10012707972
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Financial Innovation for an Aging World
Mitchell, Olivia; Piggott, John; Sherris, Michael; Yow, … - National Bureau of Economic Research (NBER) - 2006
on residential property price indices, mortality swaps and longevity derivative contracts. We also indicate how new …
Persistent link: https://www.econbiz.de/10005050013
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Securitization, structuring and pricing of longevity risk
Wills, Samuel (contributor); Sherris, Michael (contributor) - 2008
Persistent link: https://www.econbiz.de/10003741032
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Integrating financial and demographic longevity risk models : an Australian model for financial applications/ Samuel Wills and Michael Sherris
Wills, Samuel (contributor); Sherris, Michael (contributor) - 2008
Persistent link: https://www.econbiz.de/10003741036
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Securitization, structuring and pricing of longevity risk
Wills, Samuel; Sherris, Michael - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 173-185
Persistent link: https://www.econbiz.de/10003953339
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Longevity risk management for life and variable annuities : the effectiveness of static hedging using longevity bonds and derivatives
Nga, Andrew; Sherris, Michael - In: Insurance / Mathematics & economics 49 (2011) 1, pp. 100-114
Persistent link: https://www.econbiz.de/10009157434
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Modelling mortality with common stochastic long-run trends
Arnold-Gaille, Séverine; Sherris, Michael - In: The Geneva papers on risk and insurance - issues and … 36 (2011) 4, pp. 595-621
Persistent link: https://www.econbiz.de/10009503506
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Longevity selection and liabilities in public sector pension funds
Fong, Joelle H.; Piggott, John; Sherris, Michael - In: The journal of risk and insurance : the journal of the … 82 (2015) 1, pp. 33-64
Persistent link: https://www.econbiz.de/10011392950
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A multivariate Tweedie lifetime model : censoring and truncation
Alai, Daniel H.; Landsman, Zinoviy; Sherris, Michael - In: Insurance / Mathematics & economics 64 (2015), pp. 203-213
Persistent link: https://www.econbiz.de/10011398009