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Risk analysis of annuity conversion options in a stochastic mortality environment
Kling, Alexander; Ruß, Jochen; Schilling, Katja - In: Astin bulletin : the journal of the International … 44 (2014) 2, pp. 197-236
Persistent link: https://www.econbiz.de/10010393961
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Risk analysis of annuity conversion options with a special focus on decomposing risk
Schilling, Katja - 2017
Persistent link: https://www.econbiz.de/10011898170
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The pricing of hedging longevity risk the help of annuity securitizations : an application to the German market
Lorson, Jonas; Wagner, Joël - In: Journal of risk finance : the convergence of financial … 15 (2014) 4, pp. 385-416
Persistent link: https://www.econbiz.de/10010429743
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Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing
Sherris, Michael - 2018
where each risk factor is assigned a market price of mortality risk. To calibrate the market price of longevity risk, a …The pricing of longevity-linked securities depends not only on the stochastic uncertainty of the underlying risk … risk premium of longevity risk using investable retirement indexes, incorporating uncertain real interest rates using an …
Persistent link: https://www.econbiz.de/10012927869
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A bivariate lattice model to compute risk measures in life insurance policies
Costabile, Massimo - In: The journal of derivatives : JOD 28 (2021) 3, pp. 123-139
Persistent link: https://www.econbiz.de/10012486033
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Pricing longevity derivatives via Fourier transforms
Bravo, Jorge Miguel Ventura; Nunes, Joaõ Pedro Vidal - In: Insurance / Mathematics & economics 96 (2021), pp. 81-97
Persistent link: https://www.econbiz.de/10012482752
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Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
Dai, Tian-Shyr; Yang, Sharon S.; Liu, Liang-Chih - In: Insurance / Mathematics & economics 64 (2015), pp. 364-379
Persistent link: https://www.econbiz.de/10011398106
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Model risk in mortality-linked contingent claims pricing
Peters, Gareth; Yan, Hongxuan; Chan, Jennifer So Kuen - In: The journal of risk model validation 16 (2022) 3, pp. 1-53
Persistent link: https://www.econbiz.de/10014540592
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Completing the survivor derivatives market
Dawson, Paul; Blake, David; Cairns, Andrew; Dowd, Kevin - 2007
Persistent link: https://www.econbiz.de/10003583412
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Insurance options : beating the benchmark : are catastrophe bonds more profitable than corporate bonds?
Caro Barrera, José Rafael - In: Revista de métodos cuantitativos para la economía y … 29 (2020), pp. 3-17
out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …
Persistent link: https://www.econbiz.de/10012259883