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Citations for "Survival models in a dynamic context: a survey"

by Pitacco, Ermanno

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  1. Debon, A. & Montes, F. & Mateu, J. & Porcu, E. & Bevilacqua, M., 2008. "Modelling residuals dependence in dynamic life tables: A geostatistical approach," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3128-3147, February.
  2. 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.
  3. Jorge Bravo, 2011. "Modelling Mortality Using Multiple Stochastic Latent Factors," CEFAGE-UE Working Papers 2011_26, University of Evora, CEFAGE-UE (Portugal).
  4. Eckart Bomsdorf & Bernhard Babel, 2008. "Zur zukünftigen Entwicklung der Lebenserwartung in den G7-Ländern – Modellrechnungen bis 2050," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 61(01), pages 21-25, 01.
  5. Haberman, Steven & Renshaw, Arthur, 2011. "A comparative study of parametric mortality projection models," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 35-55, January.
  6. LUCIANO, Elisa & VIGNA, Elena, 2008. "Mortality risk via affine stochastic intensities: calibration and empirical relevance," MPRA Paper 59627, University Library of Munich, Germany.
  7. Elisa Luciano & Elena Vigna, 2006. "Non mean reverting affne processes for stochastic mortality," Carlo Alberto Notebooks 30, Collegio Carlo Alberto.
  8. 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.
  9. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
  10. Bernhard Babel & Eckart Bomsdorf & Rafael Schmidt, 2008. "Forecasting German mortality using panel data procedures," Journal of Population Economics, Springer, vol. 21(3), pages 541-555, July.
  11. 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.
  12. Denuit, Michel, 2008. "Comonotonic approximations to quantiles of life annuity conditional expected present value," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 831-838, April.
  13. Jorge Bravo & Carlos Pereira da Silva, 2012. "Prospective Lifetables: Life Insurance Pricing and Hedging in a Stochastic Mortality Environment," CEFAGE-UE Working Papers 2012_01, University of Evora, CEFAGE-UE (Portugal).
  14. Hainaut, Donatien, 2012. "Multidimensional Lee–Carter model with switching mortality processes," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 236-246.
  15. Meyricke, Ramona & Sherris, Michael, 2013. "The determinants of mortality heterogeneity and implications for pricing annuities," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 379-387.
  16. Hari, N., 2007. "Modeling mortality : Empirical studies on the effect of mortality on annuity markets," Other publications TiSEM a31eb479-4ce0-404a-b5c8-f, School of Economics and Management.
  17. Jorge Bravo, 2011. "Pricing Longevity Bonds Using Affine-Jump Diffusion Models," CEFAGE-UE Working Papers 2011_29, University of Evora, CEFAGE-UE (Portugal).
  18. Petrichev, Konstantin & Thorp, Susan, 2008. "The private value of public pensions," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1138-1145, June.
  19. Fabio Ortiz & Mauricio Villegas & Armando Zarruck, 2012. "Tablas de mortalidad," DOCUMENTOS DE MATEMATICA Y ESTADISTICA 011472, UNIVERSIDAD EXTERNADO DE COLOMBIA.
  20. A. Bitinas & A. Fiori Maccioni, 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.
  21. Hatzopoulos, P. & Haberman, S., 2009. "A parameterized approach to modeling and forecasting mortality," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 103-123, February.
  22. Matheus R Grasselli & Sebastiano Silla, 2009. "A policyholder's utility indifference valuation model for the guaranteed annuity option," Papers 0908.3196, arXiv.org.
  23. Khalaf-Allah, M. & Haberman, S. & Verrall, R., 2006. "Measuring the effect of mortality improvements on the cost of annuities," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 231-249, October.
  24. Hatzopoulos, P. & Haberman, S., 2011. "A dynamic parameterization modeling for the age-period-cohort mortality," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 155-174, September.
  25. Debón, A. & Martínez-Ruiz, F. & Montes, F., 2010. "A geostatistical approach for dynamic life tables: The effect of mortality on remaining lifetime and annuities," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 327-336, December.
  26. Colombo, Luigi & Haberman, Steven, 2005. "Optimal contributions in a defined benefit pension scheme with stochastic new entrants," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 335-354, October.
  27. Biffis, Enrico, 2005. "Affine processes for dynamic mortality and actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 443-468, December.
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