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Forward mortality rates in discrete time II : longevity risk and hedging strategies
Hunt, Andrew; Blake, David - 2016
Persistent link: https://www.econbiz.de/10011449869
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A Bayesian approach to modelling and projecting cohort effects
Hunt, Andrew; Blake, David - 2015
Persistent link: https://www.econbiz.de/10011412903
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Basis risk and pensions schemes : a relative modelling approach
Hunt, Andrew; Blake, David - 2016
Persistent link: https://www.econbiz.de/10011412911
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Identifiability, cointegration and the gravity model
Hunt, Andrew; Blake, David - 2015
Persistent link: https://www.econbiz.de/10011318347
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Modelling longevity bonds : analysing the Swiss Re Kortis bond
Hunt, Andrew; Blake, David - 2015
Persistent link: https://www.econbiz.de/10011318350
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A general procedure for constructing mortality models
Hunt, Andrew; Blake, David - 2013
Persistent link: https://www.econbiz.de/10009728653
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Still living with mortality : the longevity risk transfer market after one decade
Blake, David; Cairns, Andrew; Dowd, Kevin; Kessler, Amy - 2018
Persistent link: https://www.econbiz.de/10011912097
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Mortality options: the point of view of an insurer
Schmeck, Maren Diane; Schmidli, Hanspeter - 2019
We consider the surplus process of a life insurer who is able to buy a securitisation product to hedge mortality in a …. Our findings are illustrated by a tractable model for mortality catastrophe risk. …
Persistent link: https://www.econbiz.de/10012009911
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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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Completing the survivor derivatives market
Dawson, Paul; Blake, David; Cairns, Andrew; Dowd, Kevin - 2007
Persistent link: https://www.econbiz.de/10003583412