Mortality-dependent financial risk measures
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 38 (2006)
Issue (Month): 3 (June)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/505554
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dahl, Mikkel, 2004. "Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 113-136, August.
- Milevsky, Moshe A. & David Promislow, S., 2001. "Mortality derivatives and the option to annuitise," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 299-318, December.
- Yijia Lin & Samuel H. Cox, 2005. "Securitization of Mortality Risks in Life Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 227-252.
- Qian, Linyi & Wang, Wei & Wang, Rongming & Tang, Yincai, 2010. "Valuation of equity-indexed annuity under stochastic mortality and interest rate," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 123-129, October.
- De Waegenaere, A.M.B. & Melenberg, B. & Stevens, R., 2010.
Open Access publications from Tilburg University
urn:nbn:nl:ui:12-4578387, Tilburg University.
- Katja Hanewald & Thomas Post & Helmut Gründl, 2009.
"Stochastic Mortality, Macroeconomic Risks, and Life Insurer Solvency,"
SFB 649 Discussion Papers
SFB649DP2009-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Katja Hanewald & Thomas Post & Helmut Gr�ndl, 2011. "Stochastic Mortality, Macroeconomic Risks and Life Insurer Solvency," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan, vol. 36(3), pages 458-475, July.
- Hanewald, Katja & Post, Thomas & Gründl, Helmut, 2011. "Stochastic mortality, macroeconomic risks, and life insurer solvency," ICIR Working Paper Series 01/11, International Center for Insurance Regulation (ICIR), Goethe University Frankfurt.
- Ngai, Andrew & Sherris, Michael, 2011. "Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 100-114, July.
- Bauer, Daniel & Weber, Frederik, 2007. "Assessing Investment and Longevity Risks within Immediate Annuities," Discussion Papers in Business Administration 1982, University of Munich, Munich School of Management.
- Friedberg Leora & Webb Anthony, 2007.
"Life Is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk,"
The B.E. Journal of Economic Analysis & Policy,
De Gruyter, vol. 7(1), pages 1-33, July.
- Leora Friedberg & Anthony Webb, 2006. "Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk," NBER Working Papers 11984, National Bureau of Economic Research, Inc.
- Lin, Tzuling & Tzeng, Larry Y., 2010. "An additive stochastic model of mortality rates: An application to longevity risk in reserve evaluation," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 423-435, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.