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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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Bibliographic Info

Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 39 (2006)
Issue (Month): 3 (December)
Pages: 310-329

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Handle: RePEc:eee:insuma:v:39:y:2006:i:3:p:310-329

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Web page: http://www.elsevier.com/locate/inca/505554

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References

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  1. Scott Lynch & J. Brown, 2001. "Reconsidering mortality compression and deceleration: an alternative model of mortality rates," Demography, Springer, Springer, vol. 38(1), pages 79-95, February.
  2. Elisa Luciano & Elena Vigna, 2005. "Non mean reverting affine processes for stochastic mortality," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research 4-2005, ICER - International Centre for Economic Research.
  3. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 12(04), pages 627-627, November.
  4. Steinar Ekern & Svein-Arne Persson, 1996. "Exotic Unit-Linked Life Insurance Contracts," The Geneva Risk and Insurance Review, Palgrave Macmillan, Palgrave Macmillan, vol. 21(1), pages 35-63, June.
  5. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(2), pages 177-188, November.
  6. Hans FÃllmer & Peter Leukert, 1999. "Quantile hedging," Finance and Stochastics, Springer, Springer, vol. 3(3), pages 251-273.
  7. Brennan, Michael J. & Schwartz, Eduardo S., 1976. "The pricing of equity-linked life insurance policies with an asset value guarantee," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(3), pages 195-213, June.
  8. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  9. Dahl, Mikkel, 2004. "Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 35(1), pages 113-136, August.
  10. Boyle, Phelim P. & Hardy, Mary R., 1997. "Reserving for maturity guarantees: Two approaches," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 21(2), pages 113-127, November.
  11. John Bongaarts, 2004. "Population Aging and the Rising Cost of Public Pensions," Population and Development Review, The Population Council, Inc., The Population Council, Inc., vol. 30(1), pages 1-23.
  12. Biffis, Enrico, 2005. "Affine processes for dynamic mortality and actuarial valuations," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 37(3), pages 443-468, December.
  13. David J. Bolder & Grahame Johnson & Adam Metzler, 2004. "An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates," Working Papers, Bank of Canada 04-48, Bank of Canada.
  14. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, American Finance Association, vol. 33(1), pages 177-86, March.
  15. Brouhns, Natacha & Denuit, Michel & Vermunt, Jeroen K., 2002. "A Poisson log-bilinear regression approach to the construction of projected lifetables," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 31(3), pages 373-393, December.
  16. Shiro Horiuchi & John Wilmoth, 1998. "Deceleration in the age pattern of mortality at olderages," Demography, Springer, Springer, vol. 35(4), pages 391-412, November.
  17. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, Econometric Society, vol. 53(2), pages 385-407, March.
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Citations

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Cited by:
  1. Su, Karen C., 2010. "The conversion option in life insurance," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 46(3), pages 437-442, June.
  2. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 262, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Alexander Melnikov & Yuliya Romanyuk, 2006. "Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets," Working Papers, Bank of Canada 06-43, Bank of Canada.
  4. Melnikov, Alexander & Smirnov, Ivan, 2012. "Dynamic hedging of conditional value-at-risk," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 51(1), pages 182-190.
  5. Jodrá, P., 2009. "A closed-form expression for the quantile function of the Gompertz–Makeham distribution," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(10), pages 3069-3075.
  6. 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, The American Risk and Insurance Association, vol. 80(3), pages 705-732, 09.
  7. Wang, Chou-Wen & Huang, Hong-Chih & Hong, De-Chuan, 2013. "A feasible natural hedging strategy for insurance companies," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 52(3), pages 532-541.
  8. 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, Elsevier, vol. 51(2), pages 430-441.
  9. 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, Quantitative Finance Research Centre, University of Technology, Sydney 338, Quantitative Finance Research Centre, University of Technology, Sydney.

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