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

  • Melnikov, Alexander
  • Romaniuk, Yulia

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File URL: http://www.sciencedirect.com/science/article/B6V8N-4K9C54H-1/2/350e007b0a088831c785173a62772b13
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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  1. Boyle, Phelim P. & Hardy, Mary R., 1997. "Reserving for maturity guarantees: Two approaches," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 113-127, November.
  2. 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, vol. 3(3), pages 195-213, June.
  3. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
  4. John Bongaarts, 2004. "Population Aging and the Rising Cost of Public Pensions," Population and Development Review, The Population Council, Inc., vol. 30(1), pages 1-23.
  5. David J. Bolder & Grahame Johnson & Adam Metzler, 2004. "An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates," Working Papers 04-48, Bank of Canada.
  6. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  7. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
  8. Biffis, Enrico, 2005. "Affine processes for dynamic mortality and actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 443-468, December.
  9. Elisa Luciano & Elena Vigna, 2006. "Non mean reverting affne processes for stochastic mortality," Carlo Alberto Notebooks 30, Collegio Carlo Alberto.
  10. 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.
  11. 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, vol. 31(3), pages 373-393, December.
  12. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  13. Steinar Ekern & Svein-Arne Persson, 1996. "Exotic Unit-Linked Life Insurance Contracts," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 21(1), pages 35-63, June.
  14. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-86, March.
  15. Shiro Horiuchi & John Wilmoth, 1998. "Deceleration in the age pattern of mortality at olderages," Demography, Springer, vol. 35(4), pages 391-412, November.
  16. Scott Lynch & J. Brown, 2001. "Reconsidering mortality compression and deceleration: an alternative model of mortality rates," Demography, Springer, vol. 38(1), pages 79-95, February.
  17. Hans FÃllmer & Peter Leukert, 1999. "Quantile hedging," Finance and Stochastics, Springer, vol. 3(3), pages 251-273.
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