An iterative least-squares Monte Carlo approach for the simulation of cohort based biometric indices
Author:
Funder
Ministero dell’Università e della Ricerca
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s13385-024-00393-5.pdf
Reference47 articles.
1. Bacinello AR, Millossovich P, Viviano F (2021) An efficient Monte Carlo based approach for the simu-lation of future annuity values. Research Paper DEAMS, n.2/2021. http://hdl.handle.net/10077/32218
2. Bacinello AR, Millossovich P, Viviano F (2022) A regression based approach for valuing longevity measures. In: Corazza M, Perna C, Pizzi C et al (eds) Mathematical and statistical methods for actuarial sciences and finance. Springer International Publishing, Cham, pp 44–49. https://doi.org/10.1007/978-3-030-99638-3_8
3. Biffis E, Blake D, Pitotti L et al (2016) The cost of counterparty risk and collateralization in longevity swaps. J Risk Insur 83(2):387–419. https://doi.org/10.1111/jori.12055
4. Boyer MM, Stentoft L (2013) If we can simulate it, we can insure it: an application to longevity risk management. Insur Math Econ 52(1):35–45. https://doi.org/10.1016/j.insmatheco.2012.10.003
5. Cairns AJ (2011) Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging. Insur Math Econ 49(3):438–453. https://doi.org/10.1016/j.insmatheco.2011.06.004
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