A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks
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DOI: 10.1080/10920277.2011.10597619
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Cited by:
- 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.
- 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.
- David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
- David Blake & Christophe Courbage & Richard MacMinn & Michael Sherris, 2011.
"Longevity Risk and Capital Markets: The 2010–2011 Update,"
The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 489-500, October.
- Blake, David & Courbage, Christophe & MacMinn, Richard & Sherris, Michael, 2011. "Longevity risks and capital markets: The 2010-2011 update," MPRA Paper 34279, University Library of Munich, Germany.
- Arık, Ayşe & Uğur, Ömür & Kleinow, Torsten, 2023. "The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices," ASTIN Bulletin, Cambridge University Press, vol. 53(2), pages 392-417, May.
- Andreas Niemeyer, 2015. "Safety Margins for Systematic Biometric and Financial Risk in a Semi-Markov Life Insurance Framework," Risks, MDPI, vol. 3(1), pages 1-26, January.
- Srichander Ramaswamy, 2012. "The sustainability of pension schemes," BIS Working Papers 368, Bank for International Settlements.
- Feng, Ben Mingbin & Li, Johnny Siu-Hang & Zhou, Kenneth Q., 2022. "Green nested simulation via likelihood ratio: Applications to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 285-301.
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