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Modeling stochastic mortality for securitization of longevity risk

Lovász, Enrico - 2012

Persistent link: https://www.econbiz.de/10009657761

If we can simulate it, we can insure it : an application to longevity risk management

Boyer, Martin; Stentoft, Lars - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 35-45

Persistent link: https://www.econbiz.de/10009719064

Price bounds of mortality-linked security in incomplete insurance market

Huang, Yu-lieh; Tsai, Jeffrey Tzuhao; Yang, Sharon S.; … - In: Insurance / Mathematics & economics 55 (2014), pp. 30-39

Persistent link: https://www.econbiz.de/10010366219

A tragedy of annuitization? : longevity insurance in general equilibrium

Heijdra, Ben J.; Mierau, Jochen O.; Reijnders, Laurie S. M. - In: Macroeconomic dynamics 18 (2014) 7, pp. 1607-1634

Persistent link: https://www.econbiz.de/10010467918

Actuarial fairness and solidarity in pooled annuity funds

Donnelly, Catherine W. - In: Astin bulletin : the journal of the International … 45 (2015) 1, pp. 49-74

Persistent link: https://www.econbiz.de/10010506429

Life insurance and pension contracts I : the time additive life cycle model

Aase, Knut K. - In: Astin bulletin : the journal of the International … 45 (2015) 1, pp. 1-47

Persistent link: https://www.econbiz.de/10010506430

The tragedy of annuitization

Heijdra, Ben J.; Mierau, Jochen O.; Reijnders, Laurie S. M. - 2011

We construct a tractable discrete-time overlapping generations model of a closed economy and use it to study government redistribution of accidental bequests and private annuities in general equilibrium. Individuals face longevity risk as there is a positive probability of passing away before...

Persistent link: https://www.econbiz.de/10009686203

Individual welfare gains from deferred life-annuities under stochastic Lee-Carter mortality

Post, Thomas - 2009

may either choose to receive annuity payouts, calculated based on a mortality table agreed to at contract inception, or … receive the accumulated capital as a lump sum. Considering stochastic mortality improvements, such an option could be of … substantial value. Whenever mortality improves less than originally expected, the policyholder will choose the lump sum and buy an …

Persistent link: https://www.econbiz.de/10003828653

Essays on defined benefit pension insurance and participating life insurance

Cheng, Chunli - 2015

Persistent link: https://www.econbiz.de/10011448253

Statistical emulators for pricing and hedging longevity risk products

Risk, J.; Ludkovski, M. - In: Insurance / Mathematics & economics 68 (2016), pp. 45-60

Persistent link: https://www.econbiz.de/10011492443