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Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk

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Cited by:

  1. Chen, Hua & Cummins, J. David, 2010. "Longevity bond premiums: The extreme value approach and risk cubic pricing," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 150-161, February.
  2. Simon Schnürch & Torsten Kleinow & Ralf Korn, 2021. "Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model," Risks, MDPI, vol. 9(3), pages 1-32, March.
  3. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2011. "Mortality density forecasts: An analysis of six stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 355-367, May.
  4. Daniel H. Alai & Katja Ignatieva & Michael Sherris, 2019. "The Investigation of a Forward-Rate Mortality Framework," Risks, MDPI, vol. 7(2), pages 1-22, June.
  5. D’Amato, Valeria & Di Lorenzo, Emilia & Haberman, Steven & Sagoo, Pretty & Sibillo, Marilena, 2018. "De-risking strategy: Longevity spread buy-in," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 124-136.
  6. Giovanna Apicella & Enrico G. De Giorgi, 2024. "A behavioral gap in survival beliefs," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 91(1), pages 213-247, March.
  7. Kijima, Masaaki & Wong, Tony, 2007. "Pricing of Ratchet equity-indexed annuities under stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 41(3), pages 317-338, November.
  8. Norberg, Ragnar, 2010. "Forward mortality and other vital rates -- Are they the way forward?," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 105-112, October.
  9. Elisa Luciano & Elena Vigna, 2005. "Non mean reverting affine processes for stochastic mortality," ICER Working Papers - Applied Mathematics Series 4-2005, ICER - International Centre for Economic Research.
  10. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021. "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 200-221.
  11. Biagini, Francesca & Zhang, Yinglin, 2016. "Polynomial diffusion models for life insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 114-129.
  12. Russo, Vincenzo & Giacometti, Rosella & Ortobelli, Sergio & Rachev, Svetlozar & Fabozzi, Frank J., 2011. "Calibrating affine stochastic mortality models using term assurance premiums," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 53-60, July.
  13. Kira Henshaw & Corina Constantinescu & Olivier Menoukeu Pamen, 2020. "Stochastic Mortality Modelling for Dependent Coupled Lives," Risks, MDPI, vol. 8(1), pages 1-28, February.
  14. Olivia S Mitchell & John Piggott & Michael Sherris & Shaun Yow, 2006. "Financial Innovation for an Ageing World," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Anna Park & Daniel Rees (ed.),Demography and Financial Markets, Reserve Bank of Australia.
  15. Francesca Biagini & Katharina Oberpriller, 2020. "Reduced-form setting under model uncertainty with non-linear affine processes," Papers 2006.14307, arXiv.org, revised Jun 2020.
  16. Dowd, Kevin & Cairns, Andrew J.G. & Blake, David, 2006. "Mortality-dependent financial risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 427-440, June.
  17. Wolfram J. Horneff & Raimond H. Maurer, 2008. "Deferred Annuities and Strategic Asset Allocation," Working Papers wp178, University of Michigan, Michigan Retirement Research Center.
  18. Hainaut, Donatien, 2022. "A calendar year mortality model in continuous time," LIDAM Discussion Papers ISBA 2022019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  19. Shen, Yang & Siu, Tak Kuen, 2013. "Longevity bond pricing under stochastic interest rate and mortality with regime-switching," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 114-123.
  20. Elisa Luciano & Elena Vigna, 2005. "A note on stochastic survival probabilities and their calibration," ICER Working Papers - Applied Mathematics Series 1-2005, ICER - International Centre for Economic Research.
  21. Richter, Andreas & Weber, Frederik, 2009. "Mortality-Indexed Annuities," Discussion Papers in Business Administration 10994, University of Munich, Munich School of Management.
  22. Niels Haldrup & Carsten P. T. Rosenskjold, 2019. "A Parametric Factor Model of the Term Structure of Mortality," Econometrics, MDPI, vol. 7(1), pages 1-22, March.
  23. LUCIANO, Elisa & VIGNA, Elena, 2008. "Mortality risk via affine stochastic intensities: calibration and empirical relevance," MPRA Paper 59627, University Library of Munich, Germany.
  24. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
  25. Chen, Ya & Liu, Wei & Zhao, Zhen, 2025. "Optimal control problem for hybrid pension plans under longevity risk for alpha-maxmin expected utility minimization," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
  26. Cairns, Andrew J.G., 2011. "Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 438-453.
  27. Tahir Choulli & Catherine Daveloose & Mich`ele Vanmaele, 2018. "Mortality/longevity Risk-Minimization with or without securitization," Papers 1805.11844, arXiv.org.
  28. Bernhard Babel & Eckart Bomsdorf & Rafael Schmidt, 2008. "Forecasting German mortality using panel data procedures," Journal of Population Economics, Springer;European Society for Population Economics, vol. 21(3), pages 541-555, July.
  29. Ana M. Ferreiro & Enrico Ferri & José A. García & Carlos Vázquez, 2021. "Global Optimization for Automatic Model Points Selection in Life Insurance Portfolios," Mathematics, MDPI, vol. 9(5), pages 1-19, February.
  30. Hainaut, Donatien, 2012. "Multidimensional Lee–Carter model with switching mortality processes," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 236-246.
  31. Thai Nguyen & Mitja Stadje, 2018. "Optimal investment for participating insurance contracts under VaR-Regulation," Papers 1805.09068, arXiv.org, revised Jul 2019.
  32. Wang, Ting & Young, Virginia R., 2016. "Hedging pure endowments with mortality derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 238-255.
  33. Zeddouk, Fadoua & Devolder, Pierre, 2019. "Mean reversion in stochastic mortality : why and how?," LIDAM Discussion Papers ISBA 2019018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  34. Anna Rita Bacinello & Ivan Zoccolan, 2019. "Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 21-49, June.
  35. Apicella, Giovanna & Dacorogna, Michel M, 2016. "A General framework for modelling mortality to better estimate its relationship with interest rate risks," MPRA Paper 75788, University Library of Munich, Germany.
  36. Marcus C. Christiansen, 2013. "Gaussian and Affine Approximation of Stochastic Diffusion Models for Interest and Mortality Rates," Risks, MDPI, vol. 1(3), pages 1-20, October.
  37. Elisa Luciano & Luca Regis & Elena Vigna, 2011. "Delta and Gamma hedging of mortality and interest rate risk," ICER Working Papers - Applied Mathematics Series 01-2011, ICER - International Centre for Economic Research.
  38. D'Amato, Valeria & Di Lorenzo, Emilia & Piscopo, Gabriella & Sibillo, Marilena & Trotta, Annarita, 2024. "Insurance business and social sustainability: A proposal," Socio-Economic Planning Sciences, Elsevier, vol. 93(C).
  39. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
  40. 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, vol. 80(3), pages 705-732, September.
  41. Marie Angèle Cathleen Alijean & Jason Narsoo, 2018. "Evaluation of the Kou-Modified Lee-Carter Model in Mortality Forecasting: Evidence from French Male Mortality Data," Risks, MDPI, vol. 6(4), pages 1-26, October.
  42. A. Fiori Maccioni & A. Bitinas, 2013. "Lithuanian pension system's reforms following demographic and social transitions," Working Paper CRENoS 201315, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  43. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
  44. Plat, Richard, 2011. "One-year Value-at-Risk for longevity and mortality," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 462-470.
  45. Cox, Samuel H. & Lin, Yijia & Pedersen, Hal, 2010. "Mortality risk modeling: Applications to insurance securitization," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 242-253, February.
  46. Gaillardetz, Patrice, 2008. "Valuation of life insurance products under stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 212-226, February.
  47. Date, P. & Mamon, R. & Jalen, L. & Wang, I.C., 2010. "A linear algebraic method for pricing temporary life annuities and insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 98-104, August.
  48. R. Giacometti & S. Ortobelli & M. Bertocchi, 2011. "A Stochastic Model for Mortality Rate on Italian Data," Journal of Optimization Theory and Applications, Springer, vol. 149(1), pages 216-228, April.
  49. Chen, Fen-Ying & Yang, Sharon S. & Huang, Hong-Chih, 2022. "Modeling pandemic mortality risk and its application to mortality-linked security pricing," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 341-363.
  50. Jevtić, Petar & Luciano, Elisa & Vigna, Elena, 2013. "Mortality surface by means of continuous time cohort models," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 122-133.
  51. Luciano, Elisa & Spreeuw, Jaap & Vigna, Elena, 2008. "Modelling stochastic mortality for dependent lives," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 234-244, October.
  52. Post Thomas, 2012. "Individual Welfare Gains from Deferred Life-Annuities under Stochastic Mortality," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 6(2), pages 1-26, June.
  53. T. Gudaitis & A. Fiori Maccioni, 2014. "Optimal Individual Choice of Contribution to Second Pillar Pension System in Lithuania," Working Paper CRENoS 201402, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  54. Francesca Biagini & Yinglin Zhang, 2018. "Extended Reduced-Form Framework for Non-Life Insurance," Papers 1802.07741, arXiv.org, revised Jun 2022.
  55. Min Zheng, 2015. "Heterogeneous Expectations and Speculative Behavior in Insurance-Linked Securities," Discrete Dynamics in Nature and Society, Hindawi, vol. 2015, pages 1-12, March.
  56. Helena Aro & Teemu Pennanen, 2013. "Liability-driven investment in longevity risk management," Papers 1307.8261, arXiv.org.
  57. Tomas Cipra, 2010. "Securitization of Longevity and Mortality Risk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 545-560, December.
  58. Carlo Giovanni Camarda, 2019. "Smooth constrained mortality forecasting," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 41(38), pages 1091-1130.
  59. Andreas Milidonis, 2012. "Cypriot Mortality and Pension Benefits," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 6(2), pages 59-66, December.
  60. Bauer, Daniel & Börger, Matthias & Ruß, Jochen, 2010. "On the pricing of longevity-linked securities," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 139-149, February.
  61. Huang, Rachel J. & Tsai, Jeffrey T. & Tzeng, Larry Y., 2008. "Government-provided annuities under insolvency risk," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 377-385, December.
  62. Broeders, Dirk & Mehlkopf, Roel & van Ool, Annick, 2021. "The economics of sharing macro-longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 440-458.
  63. Chen, Bingzheng & Zhang, Lihong & Zhao, Lin, 2010. "On the robustness of longevity risk pricing," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 358-373, December.
  64. Bauer, Daniel & Weber, Frederik, 2007. "Assessing Investment and Longevity Risks within Immediate Annuities," Discussion Papers in Business Administration 1982, University of Munich, Munich School of Management.
  65. Plat, Richard, 2009. "On stochastic mortality modeling," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 393-404, December.
  66. Jiwook Jang & Siti Norafidah Mohd Ramli, 2018. "Hierarchical Markov Model in Life Insurance and Social Benefit Schemes," Risks, MDPI, vol. 6(3), pages 1-17, June.
  67. Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai, 2024. "Longevity hedge effectiveness using socioeconomic indices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 242-251.
  68. Jorge Miguel Ventura Bravo, 2011. "Pricing Longevity Bonds Using Affine-Jump Diffusion Models," CEFAGE-UE Working Papers 2011_29, University of Evora, CEFAGE-UE (Portugal).
  69. Emilia Di Lorenzo & Marilena Sibillo, 2020. "Economic Paradigms and Corporate Culture after the Great COVID-19 Pandemic: Towards a New Role of Welfare Organisations and Insurers," Sustainability, MDPI, vol. 12(19), pages 1-14, October.
  70. Alessandro Fiori Maccioni, 2011. "A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds," Papers 1106.5081, arXiv.org.
  71. Ragnar Norberg, 2013. "Optimal hedging of demographic risk in life insurance," Finance and Stochastics, Springer, vol. 17(1), pages 197-222, January.
  72. Jevtić, P. & Hurd, T.R., 2017. "The joint mortality of couples in continuous time," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 90-97.
  73. Li, Jing & Szimayer, Alexander, 2010. "The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts," Bonn Econ Discussion Papers 13/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
  74. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
  75. Marcus Christiansen & Andreas Niemeyer, 2015. "On the forward rate concept in multi-state life insurance," Finance and Stochastics, Springer, vol. 19(2), pages 295-327, April.
  76. Li, Han & Liu, Haibo & Tang, Qihe & Yuan, Zhongyi, 2023. "Pricing extreme mortality risk in the wake of the COVID-19 pandemic," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 84-106.
  77. Horneff, Wolfram J. & Maurer, Raimond H. & Stamos, Michael Z., 2008. "Life-cycle asset allocation with annuity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3590-3612, November.
  78. Stefan Tappe & Stefan Weber, 2019. "Stochastic mortality models: An infinite dimensional approach," Papers 1907.05157, arXiv.org.
  79. Chen An & Mahayni Antje B., 2008. "Endowment Assurance Products: Effectiveness of Risk-Minimizing Strategies under Model Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(2), pages 1-29, March.
  80. Dowd, Kevin & Cairns, Andrew J.G. & Blake, David & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2010. "Evaluating the goodness of fit of stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 255-265, December.
  81. Li, Jing & Szimayer, Alexander, 2011. "The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 471-486.
  82. Luciano, Elisa & Regis, Luca & Vigna, Elena, 2012. "Delta–Gamma hedging of mortality and interest rate risk," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 402-412.
  83. Tomas, Julien & Planchet, Frédéric, 2015. "Prospective mortality tables: Taking heterogeneity into account," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 169-190.
  84. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
  85. Christina Bohk-Ewald & Marcus Ebeling & Roland Rau, 2017. "Lifespan Disparity as an Additional Indicator for Evaluating Mortality Forecasts," Demography, Springer;Population Association of America (PAA), vol. 54(4), pages 1559-1577, August.
  86. Annamaria Olivieri & Ermanno Pitacco, 2012. "Life tables in actuarial models: from the deterministic setting to a Bayesian approach," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 127-153, June.
  87. Barbarin, Jérôme, 2008. "Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 41-55, August.
  88. Horneff, Wolfram & Maurer, Raimond & Rogalla, Ralph, 2010. "Dynamic portfolio choice with deferred annuities," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2652-2664, November.
  89. Stefan Tappe & Stefan Weber, 2014. "Stochastic mortality models: an infinite-dimensional approach," Finance and Stochastics, Springer, vol. 18(1), pages 209-248, January.
  90. Navarro-García, Manuel & Guerrero, Vanesa & Durban, María, 2023. "On constrained smoothing and out-of-range prediction using P-splines: A conic optimization approach," Applied Mathematics and Computation, Elsevier, vol. 441(C).
  91. Matheus R Grasselli & Sebastiano Silla, 2009. "A policyholder's utility indifference valuation model for the guaranteed annuity option," Papers 0908.3196, arXiv.org.
  92. Wolfram Horneff & Raimond Maurer & Michael Stamos, 2006. "Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?," Working Papers wp146, University of Michigan, Michigan Retirement Research Center.
  93. Alessandra Cretarola & Benedetta Salterini, 2023. "Utility-based indifference pricing of pure endowments in a Markov-modulated market model," Papers 2301.13575, arXiv.org.
  94. Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
  95. Wills, Samuel & Sherris, Michael, 2010. "Securitization, structuring and pricing of longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 173-185, February.
  96. Fung, Man Chung & Ignatieva, Katja & Sherris, Michael, 2014. "Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 103-115.
  97. Chen, An & Rach, Manuel, 2019. "Options on tontines: An innovative way of combining tontines and annuities," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 182-192.
  98. 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.
  99. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
  100. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.
  101. Susanna Levantesi & Massimiliano Menzietti, 2017. "Maximum Market Price of Longevity Risk under Solvency Regimes: The Case of Solvency II," Risks, MDPI, vol. 5(2), pages 1-21, May.
  102. Francesca Biagini & Yinglin Zhang, 2016. "Polynomial Diffusion Models for Life Insurance Liabilities," Papers 1602.07910, arXiv.org, revised Sep 2016.
  103. Tahir Choulli & Catherine Daveloose & Michèle Vanmaele, 2021. "Mortality/Longevity Risk-Minimization with or without Securitization," Mathematics, MDPI, vol. 9(14), pages 1-27, July.
  104. Jang, Jiwook & Mohd Ramli, Siti Norafidah, 2015. "Jump diffusion transition intensities in life insurance and disability annuity," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 440-451.
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