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Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization

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  • Johnny Siu-Hang Li
  • Wai-Sum Chan
  • Rui Zhou

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  • Johnny Siu-Hang Li & Wai-Sum Chan & Rui Zhou, 2017. "Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 1025-1065, September.
    • Handle: RePEc:bla:jrinsu:v:84:y:2017:i:3:p:1025-1065
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    References listed on IDEAS

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    8. Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha, 2014. "Parametric mortality indexes: From index construction to hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 285-299.
    9. Jennifer L. Wang & H.C. Huang & Sharon S. Yang & Jeffrey T. Tsai, 2010. "An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 473-497, June.
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    Cited by:

    1. 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.
    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. Li, Johnny Siu-Hang & Liu, Yanxin, 2021. "Recent declines in life expectancy: Implication on longevity risk hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 376-394.
    4. McCarthy, David G. & Wang, Po-Lin, 2021. "Pooling mortality risk in Eurozone state pension liabilities: An application of a Bayesian coherent multi-population cohort-based mortality model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 459-485.
    5. Yang Qiao & Chou-Wen Wang & Wenjun Zhu, 2024. "Machine learning in long-term mortality forecasting," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 340-362, April.
    6. Tsai, Cary Chi-Liang & Wu, Adelaide Di, 2020. "Incorporating hierarchical credibility theory into modelling of multi-country mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 37-54.
    7. Hung-Tsung Hsiao & Chou-Wen Wang & I.-Chien Liu & Ko-Lun Kung, 2024. "Mortality improvement neural-network models with autoregressive effects," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 363-383, April.
    8. Börger, Matthias & Freimann, Arne & Ruß, Jochen, 2021. "A combined analysis of hedge effectiveness and capital efficiency in longevity hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 309-326.

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