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A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates

Ungolo, Francesco; Kleinow, Torsten; Macdonald, Angus - In: Insurance / Mathematics & economics 91 (2020), pp. 68-84

Persistent link: https://www.econbiz.de/10012241988

Counting processes for retail default modeling

Kiefer, Nicholas Maximilian; Larson, C. Erik - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 45-72

Persistent link: https://www.econbiz.de/10011380103

The multivariate mixed proportional hazard model : applications and extensions

Drepper, Bettina - 2013

Persistent link: https://www.econbiz.de/10010236549

A general semiparametric approach to inference with marker-dependent hazard rate models

Berg, Gerard J. van den; Janys, Lena; Mammen, Enno; … - In: Journal of econometrics 221 (2021) 1, pp. 43-67

Persistent link: https://www.econbiz.de/10012618795

A parsimonious approach to stochastic mortality modelling with dependent residuals

Mavros, George; Cairns, Andrew; Kleinow, Torsten; … - 2014

Persistent link: https://www.econbiz.de/10010362818

Can pension funds partially manage longevity risk by investing in a longevity megafund?

Debonneuil, Edouard; Eyraud-Loisel, Anne; Planchet, … - In: Risks : open access journal 6 (2018) 3, pp. 1-27

Pension funds, which manage the financing of a large share of global retirement schemes, need to invest their assets in a diversified manner and over long durations while managing interest rate and longevity risks. In recent years, a new type of investment has emerged, that we call a longevity...

Persistent link: https://www.econbiz.de/10011867481

Mortality-indexed annuities : managing longevity risk via product design

Richter, Andreas; Weber, Frederik - 2009

especially its aggregate form, i.e. the risk of unsystematic changes to general mortality patterns, bears a large potential for … contingent on actual mortality experience, and it also details actuarial aspects of implementation. Similar adaptations to …