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Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts

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  • Melnikov, Alexander
  • Romaniuk, Yulia

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  • Melnikov, Alexander & Romaniuk, Yulia, 2006. "Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 310-329, December.
  • Handle: RePEc:eee:insuma:v:39:y:2006:i:3:p:310-329
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    Cited by:

    1. Jennifer L. Wang & H.C. Huang & Sharon S. Yang & Jeffrey T. Tsai, 2010. "An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 473-497, June.
    2. Milevsky, Moshe A., 2020. "Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 147-161.
    3. Tsai, Jeffrey T. & Wang, Jennifer L. & Tzeng, Larry Y., 2010. "On the optimal product mix in life insurance companies using conditional value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 235-241, February.
    4. Jodrá, P., 2009. "A closed-form expression for the quantile function of the Gompertz–Makeham distribution," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3069-3075.
    5. Hua Chen & Michael Sherris & Tao Sun & Wenge Zhu, 2013. "Living With Ambiguity: Pricing Mortality-Linked Securities With Smooth Ambiguity Preferences," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 705-732, September.
    6. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
    7. Su, Karen C., 2010. "The conversion option in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 437-442, June.
    8. Kevin Fergusson & Eckhard Platen, 2017. "Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity," Papers 1711.02808, arXiv.org.
    9. Abdou Kélani & François Quittard-Pinon, 2017. "Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(1), pages 209-238, March.
    10. Lee, Yung-Tsung & Wang, Chou-Wen & Huang, Hong-Chih, 2012. "On the valuation of reverse mortgages with regular tenure payments," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 430-441.
    11. Melnikov, Alexander & Smirnov, Ivan, 2012. "Dynamic hedging of conditional value-at-risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 182-190.
    12. Li, Jing & Szimayer, Alexander, 2010. "The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts," Bonn Econ Discussion Papers 13/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
    13. Gao, Quansheng & He, Ting & Zhang, Chi, 2011. "Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy," Economic Modelling, Elsevier, vol. 28(1), pages 147-156.
    14. Wang, Chou-Wen & Huang, Hong-Chih & Hong, De-Chuan, 2013. "A feasible natural hedging strategy for insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 532-541.
    15. M. S. Eliwa & Ziyad Ali Alhussain & M. El-Morshedy, 2020. "Discrete Gompertz-G Family of Distributions for Over- and Under-Dispersed Data with Properties, Estimation, and Applications," Mathematics, MDPI, vol. 8(3), pages 1-26, March.
    16. Kevin Fergusson & Eckhard Platen, 2013. "Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees," Research Paper Series 338, Quantitative Finance Research Centre, University of Technology, Sydney.
    17. Alexander Melnikov & Yuliya Romanyuk, 2008. "Efficient Hedging And Pricing Of Equity-Linked Life Insurance Contracts On Several Risky Assets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 295-323.
    18. Alexander Melnikov & Amir Nosrati, 2015. "Efficient Hedging For Defaultable Securities And Its Application To Equity-Linked Life Insurance Contracts," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-28, November.
    19. Melnikov, Alexander & Tong, Shuo, 2014. "Quantile hedging on equity-linked life insurance contracts with transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 77-88.
    20. Li, Jing & Szimayer, Alexander, 2011. "The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 471-486.
    21. Valeria D’Amato & Steven Haberman & Maria Russolillo, 2012. "The Stratified Sampling Bootstrap for Measuring the Uncertainty in Mortality Forecasts," Methodology and Computing in Applied Probability, Springer, vol. 14(1), pages 135-148, March.

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