Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap
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Cited by:
- 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.
- Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014.
"Longevity hedge effectiveness: a decomposition,"
Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.
- Cairns, Andrew & Dowd, Kevin & Blake, David & Coughlan, Guy, 2011. "Longevity hedge effectiveness: a decomposition," MPRA Paper 34236, University Library of Munich, Germany.
- Denuit, Michel & Trufin, Julien, 2016. "From regulatory life tables to stochastic mortality projections: The exponential decline model," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 295-303.
- Gbari, Samuel & Denuit, Michel, 2014. "Efficient approximations for numbers of survivors in the Lee–Carter model," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 71-77.
- Andrew J. G. Cairns, 2013. "Robust Hedging of Longevity Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 621-648, September.
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