A partial internal model for longevity risk
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03461238.2013.836561
Reference24 articles.
1. On the pricing of longevity-linked securities
2. Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions
3. Deterministic shock vs. stochastic value-at-risk — an analysis of the Solvency II standard model approach to longevity risk
4. A Poisson log-bilinear regression approach to the construction of projected lifetables
5. Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging
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