Local risk-minimization with longevity bonds-Reference-Cited by-同舟云学术

Local risk-minimization with longevity bonds

Published:2014-03-06 Issue:2 Volume:31 Page:241-263
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Henriksen Lars Frederik Brandt¹,Møller Thomas²

Affiliation:

1. Department of Mathematical Sciences; University of Copenhagen; Universitetsparken 5 DK-2100 Copenhagen Ø Denmark

2. PFA Pension; Sundkrogsgade 4 DK-2100 Copenhagen Ø Denmark

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Reference18 articles.

1. EIOPA EIOPA Report on the fifth Quantitative Impact Study (QIS5) for Solvency II. 03 2011

2. Blake D Biffis E Keeping some skin in the game: how to start a capital market in longevity risk transfers http://www.pensions-institute.org/workingpapers/wp1207.pdf

3. The birth of the life market;Blake;Asia-Pacific Journal of Risk and Insurance,2008

4. Blake D Welcome talk for longevity 7: seventh international longevity risk and capital markets solutions conference http://www.cass.city.ac.uk/__data/assets/pdf_file/0016/112930/Pres_-Blake.pdf

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