Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Reference26 articles.
1. Living with mortality: longevity bonds and other mortality-linked securities;Blake;British Actuarial Journal,2006
2. Deterministic shock vs. stochastic value-at-risk — an anlysis of the Solvency II standard model approach to longevity risk;Börger;Blätter DGVFM,2010
3. Cairns, A.J.G., 2007. A multifactor generalisation of the Olivier–Smith model for stochastic mortality. In: Proceedings of the 1st IAA-Life Colloquium, Stockholm, June 2007.
4. A two-factor model for stochastic mortality with parameter uncertainty: theory and calibration;Cairns;Journal of Risk and Insurance,2006
5. Pricing death: frameworks for the valuation and securitization of mortality risk;Cairns;ASTIN Bulletin,2006
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