Survivor Bonds: A Comment on Blake and Burrows
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- Man Chung Fung & Katja Ignatieva & Michael Sherris, 2015. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Papers 1508.00090, arXiv.org.
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- Bohm, Thomas & Waldvogel, Felix, 2012. "Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-02, University of Bayreuth, Chair of Finance and Banking.
- Chou-Wen Wang & Sharon S. Yang, 2013. "Pricing Survivor Derivatives With Cohort Mortality Dependence Under the Lee–Carter Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 1027-1056, December.
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- 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.
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- 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.
- David Blake & Andrew Cairns & Guy Coughlan & Kevin Dowd & Richard MacMinn, 2013. "The New Life Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 501-558, September.
- Blake, David & Boardman, Tom & Cairns, Andrew, 2010. "Sharing longevity risk: Why governments should issue longevity bonds," MPRA Paper 34184, University Library of Munich, Germany.
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- Wills, Samuel & Sherris, Michael, 2010. "Securitization, structuring and pricing of longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 173-185, February.
- 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.
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