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Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference

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  • David Blake
  • Marco Morales
  • Enrico Biffis
  • Yijia Lin
  • Andreas Milidonis

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  • David Blake & Marco Morales & Enrico Biffis & Yijia Lin & Andreas Milidonis, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 515-532, April.
    • Handle: RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:515-532
    DOI: 10.1111/jori.12194
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    References listed on IDEAS

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    1. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
    2. Biffis, Enrico & Blake, David, 2010. "Securitizing and tranching longevity exposures," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 186-197, February.
    3. Gao, Quansheng & Hu, Chengjun, 2009. "Dynamic mortality factor model with conditional heteroskedasticity," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 410-423, December.
    4. Rob Hyndman & Heather Booth & Farah Yasmeen, 2013. "Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models," Demography, Springer;Population Association of America (PAA), vol. 50(1), pages 261-283, February.
    5. Blake David & Cairns Andrew & Dowd Kevin, 2008. "The Birth of the Life Market," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 3(1), pages 1-32, September.
    6. Andreas Milidonis & Yijia Lin & Samuel Cox, 2011. "Mortality Regimes and Pricing," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 266-289.
    7. 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.
    8. Coughlan, Guy & Khalaf-Allah, Marwa & Ye, Yijing & Kumar, Sumit & Cairns, Andrew & Blake, David & Dowd, Kevin, 2011. "Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness," MPRA Paper 35743, University Library of Munich, Germany.
    9. Bai, Jushan & Ng, Serena, 2007. "Determining the Number of Primitive Shocks in Factor Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 52-60, January.
    10. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2005. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 830-840, September.
    11. Samuel H. Cox & Yijia Lin & Ruilin Tian & Jifeng Yu, 2013. "Managing Capital Market and Longevity Risks in a Defined Benefit Pension Plan," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 585-620, September.
    12. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
    13. Nadine Gatzert & Hannah Wesker, 2014. "Mortality Risk and Its Effect on Shortfall and Risk Management in Life Insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(1), pages 57-90, March.
    14. Declan French & Colin O'Hare, 2013. "A Dynamic Factor Approach to Mortality Modeling," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(7), pages 587-599, November.
    15. Hallin, Marc & Liska, Roman, 2007. "Determining the Number of Factors in the General Dynamic Factor Model," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 603-617, June.
    16. Nan Li & Ronald Lee, 2005. "Coherent mortality forecasts for a group of populations: An extension of the lee-carter method," Demography, Springer;Population Association of America (PAA), vol. 42(3), pages 575-594, August.
    17. Enrico Biffis & David Blake, 2013. "Informed Intermediation of Longevity Exposures," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 559-584, September.
    18. Andrew J. G. Cairns, 2013. "Robust Hedging of Longevity Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 621-648, September.
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