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The New Life Market

Citations

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Cited by:

  1. Bahl, Raj Kumari & Sabanis, Sotirios, 2021. "Model-independent price bounds for Catastrophic Mortality Bonds," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 276-291.
  2. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2015. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Papers 1508.00090, arXiv.org.
  3. Tat Wing Wong & Mei Choi Chiu & Hoi Ying Wong, 2017. "Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 987-1023, September.
  4. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
  5. Hao, Xuemiao & Liang, Chunli & Wei, Linghua, 2017. "Evaluation of credit value adjustment in K-forward," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 95-103.
  6. 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.
  7. Balter, Anne G. & Kallestrup-Lamb, Malene & Rangvid, Jesper, 2021. "Macro longevity risk and the choice between annuity products: Evidence from Denmark," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 355-362.
  8. Tan, Ken Seng & Weng, Chengguo & Zhang, Jinggong, 2022. "Optimal dynamic longevity hedge with basis risk," European Journal of Operational Research, Elsevier, vol. 297(1), pages 325-337.
  9. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
  10. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
  11. 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.
  12. 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.
  13. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2019. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Risks, MDPI, vol. 7(1), pages 1-25, January.
  14. 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.
  15. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
  16. 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.
  17. Raj Kumari Bahl & Sotirios Sabanis, 2016. "Model-Independent Price Bounds for Catastrophic Mortality Bonds," Papers 1607.07108, arXiv.org, revised Dec 2020.
  18. Liu, Yanxin & Li, Johnny Siu-Hang, 2015. "The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 135-150.
  19. Li, Hong & Tan, Ken Seng & Tuljapurkar, Shripad & Zhu, Wenjun, 2021. "Gompertz law revisited: Forecasting mortality with a multi-factor exponential model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 268-281.
  20. Wang, Zihe & Li, Johnny Siu-Hang, 2016. "A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds," Finance Research Letters, Elsevier, vol. 16(C), pages 103-111.
  21. Li, Johnny Siu-Hang & Liu, Yanxin & Chan, Wai-Sum, 2023. "Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 96-121.
  22. Hanbali, Hamza & Dhaene, Jan & Linders, Daniël, 2022. "Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 22-37.
  23. Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai, 2024. "Longevity hedge effectiveness using socioeconomic indices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 242-251.
  24. Hanbali, Hamza & Denuit, Michel & Dhaene, Jan & Trufin, Julien, 2019. "A dynamic equivalence principle for systematic longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 158-167.
  25. Kwok, Kai Yin & Chiu, Mei Choi & Wong, Hoi Ying, 2016. "Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 353-366.
  26. Franca Glenzer & Bertrand Achou, 2019. "Annuities, long-term care insurance, and insurer solvency," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 44(2), pages 252-276, April.
  27. Carmelo Giaccotto & Joseph Golec & Bryan P. Schmutz, 2017. "Measuring the Performance of the Secondary Market for Life Insurance Policies," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(1), pages 127-151, March.
  28. de Kort, J. & Vellekoop, M.H., 2017. "Existence of optimal consumption strategies in markets with longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 107-121.
  29. Zhou, Rui & Li, Johnny Siu-Hang & Tan, Ken Seng, 2015. "Modeling longevity risk transfers as Nash bargaining problems: Methodology and insights," Economic Modelling, Elsevier, vol. 51(C), pages 460-472.
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