Systematic and non-systematic mortality risk in pension portfolios
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References listed on IDEAS
- Olivieri, Annamaria, 2001. "Uncertainty in mortality projections: an actuarial perspective," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 231-245, October.
- Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Longevity risk in portfolios of pension annuities," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 505-519, April.
- M. A. Milevsky & S. D. Promislow & V. R. Young, 2006. "Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 673-686.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AGE-2013-08-05 (Economics of Ageing)
- NEP-ALL-2013-08-05 (All new papers)
- NEP-RMG-2013-08-05 (Risk Management)
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