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Modeling and management of mortality risk: a review. (English) Zbl 1224.91048

In this paper the authors consider the wide range of extrapolative stochastic mortality models that have been proposed over the last 15–20 years. The authors review the range of criteria that can be used to evaluate different models. Then, they discuss discrete-time and continuous-time models. The authors develop some new models (including a new model with a cohort effect, a generalization of the Oliver-Smith market model and the survivor credit offered rate market model). Finally, the authors review a range of financial instruments (traded and over-the-counter) that could be used to hedge mortality risk.

MSC:

91B30 Risk theory, insurance (MSC2010)
91B70 Stochastic models in economics
91G20 Derivative securities (option pricing, hedging, etc.)
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