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Mortality Portfolio Risk Management

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  • Samuel H. Cox
  • Yijia Lin
  • Ruilin Tian
  • Luis F. Zuluaga

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  • Samuel H. Cox & Yijia Lin & Ruilin Tian & Luis F. Zuluaga, 2013. "Mortality Portfolio Risk Management," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 853-890, December.
    • Handle: RePEc:bla:jrinsu:v:80:y:2013:i:4:p:853-890
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    File URL: http://hdl.handle.net/10.1111/j.1539-6975.2012.01469.x
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    References listed on IDEAS

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    1. 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.
    2. Lin, Yijia & Cox, Samuel H., 2008. "Securitization of catastrophe mortality risks," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 628-637, April.
    3. Ioana Popescu, 2005. "A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions," Mathematics of Operations Research, INFORMS, vol. 30(3), pages 632-657, August.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    5. Yijia Lin & Samuel H. Cox, 2005. "Securitization of Mortality Risks in Life Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 227-252, June.
    6. 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.
    7. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
    8. 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.
    9. Samuel H. Cox & Yijia Lin & Shaun Wang, 2006. "Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 719-736, December.
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    Citations

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    Cited by:

    1. Timothy F. Harris & Aaron Yelowitz & Charles Courtemanche, 2021. "Did COVID‐19 change life insurance offerings?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(4), pages 831-861, December.
    2. 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.
    3. 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.
    4. Li, Zezeng & Kara, Alper, 2022. "Pension de-risking choice and firm risk: Traditional versus innovative strategies," International Review of Financial Analysis, Elsevier, vol. 81(C).
    5. Saskia Ellenbeck & Peter Schmidt & Antonella Battaglini & Johan Lilliestam, 2013. "Der Strommarkt als soziale Institution: eine erweiterte Perspektive auf die deutsche Diskussion um Kapazitätsmechanismen," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 82(3), pages 171-182.
    6. Li, Jackie & Haberman, Steven, 2015. "On the effectiveness of natural hedging for insurance companies and pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 286-297.
    7. 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.
    8. Lin, Tzuling & Tsai, Cary Chi-Liang, 2016. "Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 44-58.
    9. Luciano, Elisa & Regis, Luca, 2014. "Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 68-77.
    10. Lin, Tzuling & Wang, Chou-Wen & Tsai, Cary Chi-Liang, 2015. "Age-specific copula-AR-GARCH mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 110-124.
    11. Lin, Yijia & MacMinn, Richard D. & Tian, Ruilin, 2015. "De-risking defined benefit plans," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 52-65.
    12. Cox, Samuel H. & Lin, Yijia & Shi, Tianxiang, 2018. "Pension risk management with funding and buyout options," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 183-200.

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