Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization-Reference-Cited by-同舟云学术

Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization

Published:2016-09-04 Issue:3 Volume:84 Page:1025-1065
ISSN:0022-4367
Container-title:Journal of Risk and Insurance
language:en
Short-container-title:Journal Risk and Insurance

Author:

Li Johnny Siu-Hang,Chan Wai-Sum,Zhou Rui

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/jori.12135/fullpdf

Reference55 articles.

1. Coherent Mortality Forecasting With Generalized Linear Models: A Modified Time-Transformation Approach;Ahmadi;Insurance: Mathematics and Economics,2014

2. A Markov Regime Switching Approach for Hedging Energy Commodities;Alizadeh;Journal of Banking and Finance,2008

3. The New Life Market;Blake;Journal of Risk and Insurance,2013

4. Living With Mortality: Longevity Bonds and Other Mortality-Linked Securities;Blake;British Actuarial Journal,2006

5. Longevity Risk and Capital Markets: The 2012-2013 Update;Blake;North American Actuarial Journal,2014

Cited by 31 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Spatial natural hedging: a general framework with application to the mortality of U.S. states;Scandinavian Actuarial Journal;2024-06-18

2. Mortality improvement neural-network models with autoregressive effects;The Geneva Papers on Risk and Insurance - Issues and Practice;2024-04

3. Machine learning in long-term mortality forecasting;The Geneva Papers on Risk and Insurance - Issues and Practice;2024-04

4. Epidemic Financing Facilities: Pandemic Bonds and Endemic Swaps;North American Actuarial Journal;2023-12-18

5. Nonlinear Modeling of Mortality Data and Its Implications for Longevity Bond Pricing;Risks;2023-11-28