Jevtić, Petar; Kwak, Minsuk; Pirvu, Traian A. Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time. (English) Zbl 07564451 Eur. Actuar. J. 12, No. 1, 249-273 (2022). MSC: 91B30 PDF BibTeX XML Cite \textit{P. Jevtić} et al., Eur. Actuar. J. 12, No. 1, 249--273 (2022; Zbl 07564451) Full Text: DOI OpenURL
Sridaran, Dilan; Sherris, Michael; Villegas, Andrés M.; Ziveyi, Jonathan A group regularisation approach for constructing generalised age-period-cohort mortality projection models. (English) Zbl 1484.91405 ASTIN Bull. 52, No. 1, 247-289 (2022). MSC: 91G05 91D20 PDF BibTeX XML Cite \textit{D. Sridaran} et al., ASTIN Bull. 52, No. 1, 247--289 (2022; Zbl 1484.91405) Full Text: DOI OpenURL
Baltas, I.; Dopierala, L.; Kolodziejczyk, K.; Szczepański, M.; Weber, G.-W.; Yannacopoulos, A. N. Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty. (English) Zbl 07478875 Eur. J. Oper. Res. 298, No. 3, 1162-1174 (2022). MSC: 91G10 90C39 93E20 PDF BibTeX XML Cite \textit{I. Baltas} et al., Eur. J. Oper. Res. 298, No. 3, 1162--1174 (2022; Zbl 07478875) Full Text: DOI OpenURL
Goel, Anubha; Mehra, Aparna A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling. (English) Zbl 07553839 Stochastics 93, No. 4, 555-574 (2021). MSC: 60G55 60J28 60J76 62H05 91G05 91G40 PDF BibTeX XML Cite \textit{A. Goel} and \textit{A. Mehra}, Stochastics 93, No. 4, 555--574 (2021; Zbl 07553839) Full Text: DOI OpenURL
Biagini, Francesca; Oberpriller, Katharina Reduced-form setting under model uncertainty with non-linear affine intensities. (English) Zbl 07537223 Probab. Uncertain. Quant. Risk 6, No. 3, 159-188 (2021). MSC: 91G40 91G05 60G44 PDF BibTeX XML Cite \textit{F. Biagini} and \textit{K. Oberpriller}, Probab. Uncertain. Quant. Risk 6, No. 3, 159--188 (2021; Zbl 07537223) Full Text: DOI OpenURL
Lin, Tzuling; Wang, Chou-Wen; Tsai, Cary Chi-Liang Correlated age-specific mortality model: an application to annuity portfolio management. (English) Zbl 1482.91184 Eur. Actuar. J. 11, No. 2, 413-440 (2021). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 91D20 62P05 PDF BibTeX XML Cite \textit{T. Lin} et al., Eur. Actuar. J. 11, No. 2, 413--440 (2021; Zbl 1482.91184) Full Text: DOI OpenURL
Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; Zeineddine, Raghid Fourier based methods for the management of complex life insurance products. (English) Zbl 1475.91283 Insur. Math. Econ. 101, 320-341 (2021). MSC: 91G05 60G51 PDF BibTeX XML Cite \textit{L. Ballotta} et al., Insur. Math. Econ. 101, 320--341 (2021; Zbl 1475.91283) Full Text: DOI OpenURL
Shimizu, Yasutaka; Minami, Yuki; Ito, Ryunosuke Why does a human die? A structural approach to cohort-wise mortality prediction under survival energy hypothesis. (English) Zbl 1471.91482 ASTIN Bull. 51, No. 1, 191-219 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{Y. Shimizu} et al., ASTIN Bull. 51, No. 1, 191--219 (2021; Zbl 1471.91482) Full Text: DOI OpenURL
Tang, Sixian; Li, Jackie Market pricing of longevity-linked securities. (English) Zbl 1472.91041 Scand. Actuar. J. 2021, No. 5, 408-436 (2021). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 91G20 91D20 PDF BibTeX XML Cite \textit{S. Tang} and \textit{J. Li}, Scand. Actuar. J. 2021, No. 5, 408--436 (2021; Zbl 1472.91041) Full Text: DOI OpenURL
Blake, David (ed.); Cairns, Andrew J. G. (ed.) Longevity risk and capital markets: the 2019–20 update. (English) Zbl 07368206 Insur. Math. Econ. 99, 395-439 (2021). MSC: 00B25 92D25 PDF BibTeX XML Cite \textit{D. Blake} (ed.) and \textit{A. J. G. Cairns} (ed.), Insur. Math. Econ. 99, 395--439 (2021; Zbl 07368206) Full Text: DOI OpenURL
Bravo, Jorge M.; Ayuso, Mercedes; Holzmann, Robert; Palmer, Edward Addressing the life expectancy gap in pension policy. (English) Zbl 1467.91135 Insur. Math. Econ. 99, 200-221 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{J. M. Bravo} et al., Insur. Math. Econ. 99, 200--221 (2021; Zbl 1467.91135) Full Text: DOI OpenURL
Wang, Ling; Wong, Hoi Ying Time-consistent longevity hedging with long-range dependence. (English) Zbl 1467.91154 Insur. Math. Econ. 99, 25-41 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{L. Wang} and \textit{H. Y. Wong}, Insur. Math. Econ. 99, 25--41 (2021; Zbl 1467.91154) Full Text: DOI OpenURL
Guo, Qiheng; Bauer, Daniel Different shades of risk: mortality trends implied by term insurance prices. (English) Zbl 1467.91140 N. Am. Actuar. J. 25, Suppl. 1, S156-S169 (2021). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{Q. Guo} and \textit{D. Bauer}, N. Am. Actuar. J. 25, S156--S169 (2021; Zbl 1467.91140) Full Text: DOI OpenURL
Blake, David (ed.); MacMinn, Richard (ed.); Tsai, Jason Chenghsien (ed.); Wang, Jennifer (ed.) Longevity risk and capital markets: the 2017–2018 update. (English) Zbl 07341011 N. Am. Actuar. J. 25, Suppl. 1, S280-S308 (2021). MSC: 00B15 PDF BibTeX XML Cite \textit{D. Blake} (ed.) et al., N. Am. Actuar. J. 25, S280--S308 (2021; Zbl 07341011) Full Text: DOI OpenURL
Bravo, Jorge M.; Nunes, João Pedro Vidal Pricing longevity derivatives via Fourier transforms. (English) Zbl 1460.91212 Insur. Math. Econ. 96, 81-97 (2021). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 91G20 PDF BibTeX XML Cite \textit{J. M. Bravo} and \textit{J. P. V. Nunes}, Insur. Math. Econ. 96, 81--97 (2021; Zbl 1460.91212) Full Text: DOI OpenURL
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying Volterra mortality model: actuarial valuation and risk management with long-range dependence. (English) Zbl 1460.91240 Insur. Math. Econ. 96, 1-14 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 60G22 PDF BibTeX XML Cite \textit{L. Wang} et al., Insur. Math. Econ. 96, 1--14 (2021; Zbl 1460.91240) Full Text: DOI arXiv OpenURL
Zhao, Qian; Li, Peng; Zhang, Jie Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes. (English) Zbl 07528900 Commun. Stat., Theory Methods 49, No. 14, 3421-3437 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{Q. Zhao} et al., Commun. Stat., Theory Methods 49, No. 14, 3421--3437 (2020; Zbl 07528900) Full Text: DOI OpenURL
Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; Zeineddine, Raghid Variable annuities in a Lévy-based hybrid model with surrender risk. (English) Zbl 1466.91248 Quant. Finance 20, No. 5, 867-886 (2020). MSC: 91G05 60G51 PDF BibTeX XML Cite \textit{L. Ballotta} et al., Quant. Finance 20, No. 5, 867--886 (2020; Zbl 1466.91248) Full Text: DOI arXiv OpenURL
Atance, David; Balbás, Alejandro; Navarro, Eliseo Constructing dynamic life tables with a single-factor model. (English) Zbl 1468.91120 Decis. Econ. Finance 43, No. 2, 787-825 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 91D20 PDF BibTeX XML Cite \textit{D. Atance} et al., Decis. Econ. Finance 43, No. 2, 787--825 (2020; Zbl 1468.91120) Full Text: DOI OpenURL
Zeddouk, Fadoua; Devolder, Pierre Mean reversion in stochastic mortality: why and how? (English) Zbl 1455.91231 Eur. Actuar. J. 10, No. 2, 499-525 (2020). MSC: 91G05 60J70 PDF BibTeX XML Cite \textit{F. Zeddouk} and \textit{P. Devolder}, Eur. Actuar. J. 10, No. 2, 499--525 (2020; Zbl 1455.91231) Full Text: DOI Link OpenURL
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra Indifference pricing of pure endowments via BSDEs under partial information. (English) Zbl 1454.91171 Scand. Actuar. J. 2020, No. 10, 904-933 (2020). MSC: 91G05 60H10 PDF BibTeX XML Cite \textit{C. Ceci} et al., Scand. Actuar. J. 2020, No. 10, 904--933 (2020; Zbl 1454.91171) Full Text: DOI arXiv OpenURL
Cupido, Kyran; Jevtić, Petar; Paez, Antonio Spatial patterns of mortality in the United States: a spatial filtering approach. (English) Zbl 1452.91243 Insur. Math. Econ. 95, 28-38 (2020). MSC: 91D20 91D25 91G05 PDF BibTeX XML Cite \textit{K. Cupido} et al., Insur. Math. Econ. 95, 28--38 (2020; Zbl 1452.91243) Full Text: DOI OpenURL
Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan Cohort and value-based multi-country longevity risk management. (English) Zbl 1448.91267 Scand. Actuar. J. 2020, No. 7, 650-676 (2020). MSC: 91G05 91D20 PDF BibTeX XML Cite \textit{M. Sherris} et al., Scand. Actuar. J. 2020, No. 7, 650--676 (2020; Zbl 1448.91267) Full Text: DOI OpenURL
Xu, Yajing; Sherris, Michael; Ziveyi, Jonathan Continuous-time multi-cohort mortality modelling with affine processes. (English) Zbl 1448.91270 Scand. Actuar. J. 2020, No. 6, 526-552 (2020). MSC: 91G05 91D20 62P05 62N02 PDF BibTeX XML Cite \textit{Y. Xu} et al., Scand. Actuar. J. 2020, No. 6, 526--552 (2020; Zbl 1448.91270) Full Text: DOI OpenURL
Wang, Yige; Zhang, Nan; Jin, Zhuo; Ho, Tin Long Pricing longevity-linked derivatives using a stochastic mortality model. (English) Zbl 07529899 Commun. Stat., Theory Methods 48, No. 24, 5923-5942 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{Y. Wang} et al., Commun. Stat., Theory Methods 48, No. 24, 5923--5942 (2019; Zbl 07529899) Full Text: DOI OpenURL
Castañeda Leyva, Netzahualcóyotl; Rodríguez Narciso, Silvia; Martínez Izquierdo, Pedro Antonio The Gompertz-Makeham longevity model. (Spanish) Zbl 1460.91190 Misc. Mat. 68, 11-58 (2019). Reviewer: George Stoica (Saint John) MSC: 91D20 PDF BibTeX XML Cite \textit{N. Castañeda Leyva} et al., Misc. Mat. 68, 11--58 (2019; Zbl 1460.91190) Full Text: Link OpenURL
Bacinello, Anna Rita; Zoccolan, Ivan Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis. (English) Zbl 1426.91203 Decis. Econ. Finance 42, No. 1, 21-49 (2019). MSC: 91G05 91G60 65C05 PDF BibTeX XML Cite \textit{A. R. Bacinello} and \textit{I. Zoccolan}, Decis. Econ. Finance 42, No. 1, 21--49 (2019; Zbl 1426.91203) Full Text: DOI OpenURL
Gudkov, Nikolay; Ignatieva, Katja; Ziveyi, Jonathan Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method. (English) Zbl 1420.91130 Quant. Finance 19, No. 3, 501-518 (2019). MSC: 91B30 91G30 PDF BibTeX XML Cite \textit{N. Gudkov} et al., Quant. Finance 19, No. 3, 501--518 (2019; Zbl 1420.91130) Full Text: DOI OpenURL
Jevtić, Petar; Regis, Luca A continuous-time stochastic model for the mortality surface of multiple populations. (English) Zbl 1425.91226 Insur. Math. Econ. 88, 181-195 (2019). MSC: 91B30 62P05 91D20 93E11 PDF BibTeX XML Cite \textit{P. Jevtić} and \textit{L. Regis}, Insur. Math. Econ. 88, 181--195 (2019; Zbl 1425.91226) Full Text: DOI Link OpenURL
Ye, Jinchun Random distribution kernels and three types of defaultable contingent payoffs. (English) Zbl 1415.62083 Insur. Math. Econ. 85, 198-204 (2019). MSC: 62P05 62N05 91B30 PDF BibTeX XML Cite \textit{J. Ye}, Insur. Math. Econ. 85, 198--204 (2019; Zbl 1415.62083) Full Text: DOI OpenURL
Bacinello, Anna Rita; Millossovich, Pietro; Chen, An The impact of longevity and investment risk on a portfolio of life insurance liabilities. (English) Zbl 1422.91325 Eur. Actuar. J. 8, No. 2, 257-290 (2018). MSC: 91B30 PDF BibTeX XML Cite \textit{A. R. Bacinello} et al., Eur. Actuar. J. 8, No. 2, 257--290 (2018; Zbl 1422.91325) Full Text: DOI Link OpenURL
Śliwka, Piotr; Socha, Lesław A proposition of generalized stochastic Milevsky-Promislov mortality models. (English) Zbl 1418.91258 Scand. Actuar. J. 2018, No. 8, 706-726 (2018). MSC: 91B30 62P05 91D20 60H10 PDF BibTeX XML Cite \textit{P. Śliwka} and \textit{L. Socha}, Scand. Actuar. J. 2018, No. 8, 706--726 (2018; Zbl 1418.91258) Full Text: DOI OpenURL
Chen, An; Guillen, Montserrat; Vigna, Elena Solvency requirement in a unisex mortality model. (English) Zbl 1416.91161 ASTIN Bull. 48, No. 3, 1219-1243 (2018). MSC: 91B30 PDF BibTeX XML Cite \textit{A. Chen} et al., ASTIN Bull. 48, No. 3, 1219--1243 (2018; Zbl 1416.91161) Full Text: DOI Link OpenURL
Shen, Yang; Sherris, Michael Lifetime asset allocation with idiosyncratic and systematic mortality risks. (English) Zbl 1416.91221 Scand. Actuar. J. 2018, No. 4, 294-327 (2018). MSC: 91B30 90C39 PDF BibTeX XML Cite \textit{Y. Shen} and \textit{M. Sherris}, Scand. Actuar. J. 2018, No. 4, 294--327 (2018; Zbl 1416.91221) Full Text: DOI OpenURL
Baione, Fabio; Levantesi, Susanna Pricing critical illness insurance from prevalence rates: Gompertz versus Weibull. (English) Zbl 1393.62042 N. Am. Actuar. J. 22, No. 2, 270-288 (2018). MSC: 62P05 62N02 91B30 PDF BibTeX XML Cite \textit{F. Baione} and \textit{S. Levantesi}, N. Am. Actuar. J. 22, No. 2, 270--288 (2018; Zbl 1393.62042) Full Text: DOI OpenURL
Li, Hong Dynamic hedging of longevity risk: the effect of trading frequency. (English) Zbl 1390.91194 ASTIN Bull. 48, No. 1, 197-232 (2018). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{H. Li}, ASTIN Bull. 48, No. 1, 197--232 (2018; Zbl 1390.91194) Full Text: DOI OpenURL
Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality. (English) Zbl 1390.91190 ASTIN Bull. 48, No. 1, 139-169 (2018). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{K. Ignatieva} et al., ASTIN Bull. 48, No. 1, 139--169 (2018; Zbl 1390.91190) Full Text: DOI OpenURL
Dong, Yinghui; Yuen, Kam Chuen; Wang, Guojing Regime-switching pure jump processes and applications in the valuation of mortality-linked products. (English) Zbl 1388.49020 Commun. Stat., Theory Methods 47, No. 6, 1372-1391 (2018). MSC: 49K15 44A10 47D07 60J10 93E20 PDF BibTeX XML Cite \textit{Y. Dong} et al., Commun. Stat., Theory Methods 47, No. 6, 1372--1391 (2018; Zbl 1388.49020) Full Text: DOI OpenURL
Blake, David (ed.); El Karoui, Nicole (ed.); Loisel, Stéphane (ed.); MacMinn, Richard (ed.) Longevity risk and capital markets: the 2015–16 update. (English) Zbl 1384.00062 Insur. Math. Econ. 78, 157-173 (2018). MSC: 00B15 00B25 91-06 91B30 PDF BibTeX XML Cite \textit{D. Blake} (ed.) et al., Insur. Math. Econ. 78, 157--173 (2018; Zbl 1384.00062) Full Text: DOI OpenURL
Li, Zixi; Shao, Adam W.; Sherris, Michael The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates. (English) Zbl 1414.91216 N. Am. Actuar. J. 21, No. 4, 594-610 (2017). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{Z. Li} et al., N. Am. Actuar. J. 21, No. 4, 594--610 (2017; Zbl 1414.91216) Full Text: DOI OpenURL
Huang, H.; Milevsky, M. A.; Salisbury, T. S. Retirement spending and biological age. (English) Zbl 1401.91519 J. Econ. Dyn. Control 84, 58-76 (2017). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{H. Huang} et al., J. Econ. Dyn. Control 84, 58--76 (2017; Zbl 1401.91519) Full Text: DOI arXiv OpenURL
Da Fonseca, José; Ziveyi, Jonathan Valuing variable annuity guarantees on multiple assets. (English) Zbl 1401.91127 Scand. Actuar. J. 2017, No. 3, 209-230 (2017). MSC: 91B30 91G20 60H30 62P05 PDF BibTeX XML Cite \textit{J. Da Fonseca} and \textit{J. Ziveyi}, Scand. Actuar. J. 2017, No. 3, 209--230 (2017; Zbl 1401.91127) Full Text: DOI OpenURL
Chen, An; Vigna, Elena A unisex stochastic mortality model to comply with EU Gender Directive. (English) Zbl 1416.91162 Insur. Math. Econ. 73, 124-136 (2017). MSC: 91B30 60H30 PDF BibTeX XML Cite \textit{A. Chen} and \textit{E. Vigna}, Insur. Math. Econ. 73, 124--136 (2017; Zbl 1416.91162) Full Text: DOI Link OpenURL
Jevtić, P.; Hurd, T. R. The joint mortality of couples in continuous time. (English) Zbl 1394.62144 Insur. Math. Econ. 75, 90-97 (2017). MSC: 62P05 91B30 PDF BibTeX XML Cite \textit{P. Jevtić} and \textit{T. R. Hurd}, Insur. Math. Econ. 75, 90--97 (2017; Zbl 1394.62144) Full Text: DOI OpenURL
de Kort, J.; Vellekoop, M. H. Existence of optimal consumption strategies in markets with longevity risk. (English) Zbl 1394.91246 Insur. Math. Econ. 72, 107-121 (2017). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{J. de Kort} and \textit{M. H. Vellekoop}, Insur. Math. Econ. 72, 107--121 (2017; Zbl 1394.91246) Full Text: DOI OpenURL
Djehiche, Boualem Statistical estimation techniques in life and disability insurance – a short overview. (English) Zbl 1406.62114 Eddahbi, M’hamed (ed.) et al., Statistical methods and applications in insurance and finance. CIMPA school, Marrakech and Kelaat M’gouna, Morocco, April 8–20, 2013. Cham: Springer (ISBN 978-3-319-30416-8/hbk; 978-3-319-30417-5/ebook). Springer Proceedings in Mathematics & Statistics 158, 127-147 (2016). MSC: 62P05 91B30 62N05 62G07 62M10 PDF BibTeX XML Cite \textit{B. Djehiche}, Springer Proc. Math. Stat. 158, 127--147 (2016; Zbl 1406.62114) Full Text: DOI OpenURL
Planchet, Frédéric; Tomas, Julien Uncertainty on survival probabilities and solvency capital requirement: application to long-term care insurance. (English) Zbl 1401.91182 Scand. Actuar. J. 2016, No. 4, 279-292 (2016). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{F. Planchet} and \textit{J. Tomas}, Scand. Actuar. J. 2016, No. 4, 279--292 (2016; Zbl 1401.91182) Full Text: DOI OpenURL
Devolder, Pierre; Lebègue, Adrien Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances. (English) Zbl 1414.91179 Depend. Model. 4, 306-327 (2016). MSC: 91B30 PDF BibTeX XML Cite \textit{P. Devolder} and \textit{A. Lebègue}, Depend. Model. 4, 306--327 (2016; Zbl 1414.91179) Full Text: DOI OpenURL
Deelstra, Griselda; Grasselli, Martino; Van Weverberg, Christopher The role of the dependence between mortality and interest rates when pricing guaranteed annuity options. (English) Zbl 1371.91084 Insur. Math. Econ. 71, 205-219 (2016). MSC: 91B30 91G20 91G30 PDF BibTeX XML Cite \textit{G. Deelstra} et al., Insur. Math. Econ. 71, 205--219 (2016; Zbl 1371.91084) Full Text: DOI OpenURL
Avanzi, Benjamin; Wong, Bernard; Yang, Xinda A micro-level claim count model with overdispersion and reporting delays. (English) Zbl 1371.91077 Insur. Math. Econ. 71, 1-14 (2016). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{B. Avanzi} et al., Insur. Math. Econ. 71, 1--14 (2016; Zbl 1371.91077) Full Text: DOI Link OpenURL
Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality. (English) Zbl 1371.91178 Insur. Math. Econ. 70, 286-300 (2016). MSC: 91G20 91B30 PDF BibTeX XML Cite \textit{K. Ignatieva} et al., Insur. Math. Econ. 70, 286--300 (2016; Zbl 1371.91178) Full Text: DOI OpenURL
Wang, Ting; Young, Virginia R. Hedging pure endowments with mortality derivatives. (English) Zbl 1369.91100 Insur. Math. Econ. 69, 238-255 (2016). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{T. Wang} and \textit{V. R. Young}, Insur. Math. Econ. 69, 238--255 (2016; Zbl 1369.91100) Full Text: DOI arXiv OpenURL
Chan, Leunglung; Platen, Eckhard Pricing of long dated equity-linked life insurance contracts. (English) Zbl 1344.60064 Stochastic Anal. Appl. 34, No. 2, 339-355 (2016). MSC: 60H30 60H10 60J60 91B30 91G80 PDF BibTeX XML Cite \textit{L. Chan} and \textit{E. Platen}, Stochastic Anal. Appl. 34, No. 2, 339--355 (2016; Zbl 1344.60064) Full Text: DOI OpenURL
Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene Risk-minimization for life insurance liabilities with basis risk. (English) Zbl 1404.91136 Math. Financ. Econ. 10, No. 2, 151-178 (2016). MSC: 91B30 62P05 62P20 60G44 PDF BibTeX XML Cite \textit{F. Biagini} et al., Math. Financ. Econ. 10, No. 2, 151--178 (2016; Zbl 1404.91136) Full Text: DOI OpenURL
Pelsser, Antoon; Salahnejhad Ghalehjooghi, Ahmad Time-consistent actuarial valuations. (English) Zbl 1348.91178 Insur. Math. Econ. 66, 97-112 (2016). MSC: 91B30 91G20 60H30 60H10 60J75 PDF BibTeX XML Cite \textit{A. Pelsser} and \textit{A. Salahnejhad Ghalehjooghi}, Insur. Math. Econ. 66, 97--112 (2016; Zbl 1348.91178) Full Text: DOI arXiv OpenURL
Russo, Vincenzo; Giacometti, Rosella; Rachev, Svetlozar; Fabozzi, Frank J. A three-factor model for mortality modeling. (English) Zbl 1414.91229 N. Am. Actuar. J. 19, No. 2, 129-141 (2015). MSC: 91B30 62P05 62M10 PDF BibTeX XML Cite \textit{V. Russo} et al., N. Am. Actuar. J. 19, No. 2, 129--141 (2015; Zbl 1414.91229) Full Text: DOI OpenURL
Jang, Jiwook; Mohd Ramli, Siti Norafidah Jump diffusion transition intensities in life insurance and disability annuity. (English) Zbl 1348.91154 Insur. Math. Econ. 64, 440-451 (2015). MSC: 91B30 60J75 62P05 91G20 PDF BibTeX XML Cite \textit{J. Jang} and \textit{S. N. Mohd Ramli}, Insur. Math. Econ. 64, 440--451 (2015; Zbl 1348.91154) Full Text: DOI OpenURL
Dai, Tian-Shyr; Yang, Sharon S.; Liu, Liang-Chih Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks. (English) Zbl 1348.91138 Insur. Math. Econ. 64, 364-379 (2015). MSC: 91B30 91G20 60H30 91G60 PDF BibTeX XML Cite \textit{T.-S. Dai} et al., Insur. Math. Econ. 64, 364--379 (2015; Zbl 1348.91138) Full Text: DOI OpenURL
Ahmadi, Seyed Saeed; Gaillardetz, Patrice Modeling mortality and pricing life annuities with Lévy processes. (English) Zbl 1348.62229 Insur. Math. Econ. 64, 337-350 (2015). MSC: 62P05 91B30 60G51 60H30 91D20 PDF BibTeX XML Cite \textit{S. S. Ahmadi} and \textit{P. Gaillardetz}, Insur. Math. Econ. 64, 337--350 (2015; Zbl 1348.62229) Full Text: DOI OpenURL
Liu, Yanxin; Li, Johnny Siu-Hang The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds. (English) Zbl 1348.91171 Insur. Math. Econ. 64, 135-150 (2015). MSC: 91B30 62P05 91D20 91G20 PDF BibTeX XML Cite \textit{Y. Liu} and \textit{J. S. H. Li}, Insur. Math. Econ. 64, 135--150 (2015; Zbl 1348.91171) Full Text: DOI OpenURL
Gao, Huan; Mamon, Rogemar; Liu, Xiaoming; Tenyakov, Anton Mortality modelling with regime-switching for the valuation of a guaranteed annuity option. (English) Zbl 1348.91145 Insur. Math. Econ. 63, 108-120 (2015). MSC: 91B30 91G20 62P05 PDF BibTeX XML Cite \textit{H. Gao} et al., Insur. Math. Econ. 63, 108--120 (2015; Zbl 1348.91145) Full Text: DOI OpenURL
Tan, Ken Seng (ed.) Editorial: Longevity risk and capital markets: the 2013–14 update. (English) Zbl 1321.00138 Insur. Math. Econ. 63, 1-11 (2015). MSC: 00B25 00B15 91-06 91B30 62P05 91D20 91G20 PDF BibTeX XML Cite \textit{K. S. Tan} (ed.), Insur. Math. Econ. 63, 1--11 (2015; Zbl 1321.00138) Full Text: DOI OpenURL
Jevtić, Petar; Regis, Luca Assessing the solvency of insurance portfolios via a continuous-time cohort model. (English) Zbl 1314.91140 Insur. Math. Econ. 61, 36-47 (2015). MSC: 91B30 91G10 PDF BibTeX XML Cite \textit{P. Jevtić} and \textit{L. Regis}, Insur. Math. Econ. 61, 36--47 (2015; Zbl 1314.91140) Full Text: DOI Link OpenURL
Andreoli, Alessandro; Ballestra, Luca Vincenzo; Pacelli, Graziella Computing survival probabilities based on stochastic differential models. (English) Zbl 1310.65008 J. Comput. Appl. Math. 277, 127-137 (2015). MSC: 65C30 60H30 91B30 92D25 PDF BibTeX XML Cite \textit{A. Andreoli} et al., J. Comput. Appl. Math. 277, 127--137 (2015; Zbl 1310.65008) Full Text: DOI OpenURL
Blake, David (ed.); MacMinn, Richard (ed.); Li, Johnny Siu-Hang (ed.); Hardy, Mary (ed.) Longevity risk and capital markets: the 2012–2013 update. (English) Zbl 1458.00030 N. Am. Actuar. J. 18, No. 1, 1-13 (2014). MSC: 00B25 91-06 91G05 PDF BibTeX XML Cite \textit{D. Blake} (ed.) et al., N. Am. Actuar. J. 18, No. 1, 1--13 (2014; Zbl 1458.00030) Full Text: DOI OpenURL
Xu, Lin; Shen, Guangjun; Yao, Dingjun Pricing of equity indexed annuity under fractional Brownian motion model. (English) Zbl 1471.91489 Abstr. Appl. Anal. 2014, Article ID 380718, 9 p. (2014). MSC: 91G05 60G22 PDF BibTeX XML Cite \textit{L. Xu} et al., Abstr. Appl. Anal. 2014, Article ID 380718, 9 p. (2014; Zbl 1471.91489) Full Text: DOI OpenURL
Liu, Xiaoming; Mamon, Rogemar; Gao, Huan A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach. (English) Zbl 1337.91047 Stochastics 86, No. 4, 594-608 (2014). MSC: 91B30 60H30 PDF BibTeX XML Cite \textit{X. Liu} et al., Stochastics 86, No. 4, 594--608 (2014; Zbl 1337.91047) Full Text: DOI OpenURL
Fontana, Claudio; Montes, Juan Miguel A. A unified approach to pricing and risk management of equity and credit risk. (English) Zbl 1314.91227 J. Comput. Appl. Math. 259 B, 350-361 (2014). MSC: 91G40 60H30 91G20 91G60 PDF BibTeX XML Cite \textit{C. Fontana} and \textit{J. M. A. Montes}, J. Comput. Appl. Math. 259, Part B, 350--361 (2014; Zbl 1314.91227) Full Text: DOI arXiv OpenURL
Biffi, Paola; Clemente, Gian Paolo Selecting stochastic mortality models for the Italian population. (English) Zbl 1398.91312 Decis. Econ. Finance 37, No. 2, 255-286 (2014). MSC: 91B30 62P05 91D20 62E15 PDF BibTeX XML Cite \textit{P. Biffi} and \textit{G. P. Clemente}, Decis. Econ. Finance 37, No. 2, 255--286 (2014; Zbl 1398.91312) Full Text: DOI OpenURL
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng Regime-switching shot-noise processes and longevity bond pricing. (English) Zbl 1341.60069 Lith. Math. J. 54, No. 4, 383-402 (2014). MSC: 60H30 60H10 60G51 60J25 91G40 91G80 PDF BibTeX XML Cite \textit{Y. Dong} et al., Lith. Math. J. 54, No. 4, 383--402 (2014; Zbl 1341.60069) Full Text: DOI OpenURL
Djehiche, Boualem; Löfdahl, Björn Risk aggregation and stochastic claims reserving in disability insurance. (English) Zbl 1306.91074 Insur. Math. Econ. 59, 100-108 (2014). MSC: 91B30 PDF BibTeX XML Cite \textit{B. Djehiche} and \textit{B. Löfdahl}, Insur. Math. Econ. 59, 100--108 (2014; Zbl 1306.91074) Full Text: DOI arXiv OpenURL
Fung, Man Chung; Ignatieva, Katja; Sherris, Michael Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities. (English) Zbl 1304.91103 Insur. Math. Econ. 58, 103-115 (2014). MSC: 91B30 PDF BibTeX XML Cite \textit{M. C. Fung} et al., Insur. Math. Econ. 58, 103--115 (2014; Zbl 1304.91103) Full Text: DOI OpenURL
Wong, Tat Wing; Chiu, Mei Choi; Wong, Hoi Ying Time-consistent mean-variance hedging of longevity risk: effect of cointegration. (English) Zbl 1304.91136 Insur. Math. Econ. 56, 56-67 (2014). MSC: 91B30 91G10 49L20 PDF BibTeX XML Cite \textit{T. W. Wong} et al., Insur. Math. Econ. 56, 56--67 (2014; Zbl 1304.91136) Full Text: DOI OpenURL
Recchioni, M. C.; Screpante, F. A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies. (English) Zbl 1304.91243 Insur. Math. Econ. 57, 114-124 (2014). MSC: 91G60 65C05 65C50 91G20 PDF BibTeX XML Cite \textit{M. C. Recchioni} and \textit{F. Screpante}, Insur. Math. Econ. 57, 114--124 (2014; Zbl 1304.91243) Full Text: DOI OpenURL
Tappe, Stefan; Weber, Stefan Stochastic mortality models: an infinite-dimensional approach. (English) Zbl 1308.60065 Finance Stoch. 18, No. 1, 209-248 (2014). Reviewer: Jonas Šiaulys (Vilnius) MSC: 60G55 60G57 60G51 60H15 91D20 PDF BibTeX XML Cite \textit{S. Tappe} and \textit{S. Weber}, Finance Stoch. 18, No. 1, 209--248 (2014; Zbl 1308.60065) Full Text: DOI arXiv OpenURL
Buchardt, Kristian Dependent interest and transition rates in life insurance. (English) Zbl 1296.91145 Insur. Math. Econ. 55, 167-179 (2014). MSC: 91B30 60J20 PDF BibTeX XML Cite \textit{K. Buchardt}, Insur. Math. Econ. 55, 167--179 (2014; Zbl 1296.91145) Full Text: DOI OpenURL
Huang, Yu-Lieh; Tsai, Jeffrey Tzuhao; Yang, Sharon S.; Cheng, Hung-Wen Price bounds of mortality-linked security in incomplete insurance market. (English) Zbl 1296.91157 Insur. Math. Econ. 55, 30-39 (2014). MSC: 91B30 PDF BibTeX XML Cite \textit{Y.-L. Huang} et al., Insur. Math. Econ. 55, 30--39 (2014; Zbl 1296.91157) Full Text: DOI OpenURL
Liu, Xiaoming; Mamon, Rogemar; Gao, Huan A comonotonicity-based valuation method for guaranteed annuity options. (English) Zbl 1285.91130 J. Comput. Appl. Math. 250, 58-69 (2013). MSC: 91G20 PDF BibTeX XML Cite \textit{X. Liu} et al., J. Comput. Appl. Math. 250, 58--69 (2013; Zbl 1285.91130) Full Text: DOI OpenURL
Jevtić, Petar; Luciano, Elisa; Vigna, Elena Mortality surface by means of continuous time cohort models. (English) Zbl 1284.91240 Insur. Math. Econ. 53, No. 1, 122-133 (2013). MSC: 91B30 62H25 62P05 PDF BibTeX XML Cite \textit{P. Jevtić} et al., Insur. Math. Econ. 53, No. 1, 122--133 (2013; Zbl 1284.91240) Full Text: DOI Link OpenURL
Blackburn, Craig; Sherris, Michael Consistent dynamic affine mortality models for longevity risk applications. (English) Zbl 1284.91208 Insur. Math. Econ. 53, No. 1, 64-73 (2013). MSC: 91B30 91D20 62P05 PDF BibTeX XML Cite \textit{C. Blackburn} and \textit{M. Sherris}, Insur. Math. Econ. 53, No. 1, 64--73 (2013; Zbl 1284.91208) Full Text: DOI OpenURL
Ziveyi, Jonathan; Blackburn, Craig; Sherris, Michael Pricing European options on deferred annuities. (English) Zbl 1284.91557 Insur. Math. Econ. 52, No. 2, 300-311 (2013). MSC: 91G20 91B30 PDF BibTeX XML Cite \textit{J. Ziveyi} et al., Insur. Math. Econ. 52, No. 2, 300--311 (2013; Zbl 1284.91557) Full Text: DOI OpenURL
Zhou, Rui; Li, Johnny Siu-Hang A cautionary note on pricing longevity index swaps. (English) Zbl 1286.91142 Scand. Actuar. J. 2013, No. 1, 1-23 (2013). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G20 91B30 91D20 PDF BibTeX XML Cite \textit{R. Zhou} and \textit{J. S. H. Li}, Scand. Actuar. J. 2013, No. 1, 1--23 (2013; Zbl 1286.91142) Full Text: DOI OpenURL
Olivieri, Annamaria; Pitacco, Ermanno Life tables in actuarial models: from the deterministic setting to a Bayesian approach. (English) Zbl 1443.62367 AStA, Adv. Stat. Anal. 96, No. 2, 127-153 (2012). MSC: 62P05 91G05 91D20 PDF BibTeX XML Cite \textit{A. Olivieri} and \textit{E. Pitacco}, AStA, Adv. Stat. Anal. 96, No. 2, 127--153 (2012; Zbl 1443.62367) Full Text: DOI OpenURL
Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia Understanding, modelling and managing longevity risk: key issues and main challenges. (English) Zbl 1277.91073 Scand. Actuar. J. 2012, No. 3, 203-231 (2012). MSC: 91B30 62P05 91D20 91G20 PDF BibTeX XML Cite \textit{P. Barrieu} et al., Scand. Actuar. J. 2012, No. 3, 203--231 (2012; Zbl 1277.91073) Full Text: DOI Link OpenURL
Liu, Xiaoming; Lin, X. Sheldon A subordinated Markov model for stochastic mortality. (English) Zbl 1273.91239 Eur. Actuar. J. 2, No. 1, 105-127 (2012). MSC: 91B30 91B70 91G20 PDF BibTeX XML Cite \textit{X. Liu} and \textit{X. S. Lin}, Eur. Actuar. J. 2, No. 1, 105--127 (2012; Zbl 1273.91239) Full Text: DOI OpenURL
Qian, LinYi; Wang, RongMing; Wang, Shuai Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk. (English) Zbl 1274.60215 Sci. China, Math. 55, No. 11, 2335-2346 (2012). MSC: 60H30 60J75 91B25 91B30 91G20 PDF BibTeX XML Cite \textit{L. Qian} et al., Sci. China, Math. 55, No. 11, 2335--2346 (2012; Zbl 1274.60215) Full Text: DOI OpenURL
Luciano, Elisa; Regis, Luca; Vigna, Elena Delta-gamma hedging of mortality and interest rate risk. (English) Zbl 1237.91134 Insur. Math. Econ. 50, No. 3, 402-412 (2012). MSC: 91B30 91G30 PDF BibTeX XML Cite \textit{E. Luciano} et al., Insur. Math. Econ. 50, No. 3, 402--412 (2012; Zbl 1237.91134) Full Text: DOI OpenURL
Levantesi, Susanna; Menzietti, Massimiliano Managing longevity and disability risks in life annuities with long term care. (English) Zbl 1237.91131 Insur. Math. Econ. 50, No. 3, 391-401 (2012). MSC: 91B30 91G50 62P05 PDF BibTeX XML Cite \textit{S. Levantesi} and \textit{M. Menzietti}, Insur. Math. Econ. 50, No. 3, 391--401 (2012; Zbl 1237.91131) Full Text: DOI OpenURL
Li, Jing; Szimayer, Alexander The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts. (English) Zbl 1228.91041 Insur. Math. Econ. 49, No. 3, 471-486 (2011). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{J. Li} and \textit{A. Szimayer}, Insur. Math. Econ. 49, No. 3, 471--486 (2011; Zbl 1228.91041) Full Text: DOI Link OpenURL
Giacometti, R.; Ortobelli, S.; Bertocchi, M. A stochastic model for mortality rate on italian data. (English) Zbl 1221.91031 J. Optim. Theory Appl. 149, No. 1, 216-228 (2011). MSC: 91B30 62N05 PDF BibTeX XML Cite \textit{R. Giacometti} et al., J. Optim. Theory Appl. 149, No. 1, 216--228 (2011; Zbl 1221.91031) Full Text: DOI OpenURL
Shang, Zhaoning; Goovaerts, Marc; Dhaene, Jan A recursive approach to mortality-linked derivative pricing. (English) Zbl 1218.91156 Insur. Math. Econ. 49, No. 2, 240-248 (2011). MSC: 91G20 65R10 44A10 91B30 60J70 60H30 PDF BibTeX XML Cite \textit{Z. Shang} et al., Insur. Math. Econ. 49, No. 2, 240--248 (2011; Zbl 1218.91156) Full Text: DOI OpenURL
Russo, Vincenzo; Giacometti, Rosella; Ortobelli, Sergio; Rachev, Svetlozar; Fabozzi, Frank J. Calibrating affine stochastic mortality models using term assurance premiums. (English) Zbl 1218.91093 Insur. Math. Econ. 49, No. 1, 53-60 (2011). MSC: 91B30 91G30 91G40 62P05 PDF BibTeX XML Cite \textit{V. Russo} et al., Insur. Math. Econ. 49, No. 1, 53--60 (2011; Zbl 1218.91093) Full Text: DOI OpenURL
Chen, Bingzheng; Zhang, Lihong; Zhao, Lin On the robustness of longevity risk pricing. (English) Zbl 1231.91426 Insur. Math. Econ. 47, No. 3, 358-373 (2010). MSC: 91G20 91B30 PDF BibTeX XML Cite \textit{B. Chen} et al., Insur. Math. Econ. 47, No. 3, 358--373 (2010; Zbl 1231.91426) Full Text: DOI OpenURL
Qian, Linyi; Wang, Wei; Wang, Rongming; Tang, Yincai Valuation of equity-indexed annuity under stochastic mortality and interest rate. (English) Zbl 1231.91446 Insur. Math. Econ. 47, No. 2, 123-129 (2010). MSC: 91G20 91G30 91B30 PDF BibTeX XML Cite \textit{L. Qian} et al., Insur. Math. Econ. 47, No. 2, 123--129 (2010; Zbl 1231.91446) Full Text: DOI OpenURL
Lin, Tzuling; Tzeng, Larry Y. An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation. (English) Zbl 1231.91209 Insur. Math. Econ. 46, No. 2, 423-435 (2010). MSC: 91B30 PDF BibTeX XML Cite \textit{T. Lin} and \textit{L. Y. Tzeng}, Insur. Math. Econ. 46, No. 2, 423--435 (2010; Zbl 1231.91209) Full Text: DOI OpenURL
Chen, Hua; Cox, Samuel H.; Wang, Shaun S. Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform. (English) Zbl 1231.91154 Insur. Math. Econ. 46, No. 2, 371-384 (2010). MSC: 91B30 91B74 PDF BibTeX XML Cite \textit{H. Chen} et al., Insur. Math. Econ. 46, No. 2, 371--384 (2010; Zbl 1231.91154) Full Text: DOI OpenURL
Cox, Samuel H.; Lin, Yijia; Pedersen, Hal Mortality risk modeling: applications to insurance securitization. (English) Zbl 1231.91168 Insur. Math. Econ. 46, No. 1, 242-253 (2010). MSC: 91B30 91B70 91G10 PDF BibTeX XML Cite \textit{S. H. Cox} et al., Insur. Math. Econ. 46, No. 1, 242--253 (2010; Zbl 1231.91168) Full Text: DOI OpenURL
Tsai, Jeffrey T.; Wang, Jennifer L.; Tzeng, Larry Y. On the optimal product mix in life insurance companies using conditional value at risk. (English) Zbl 1231.91244 Insur. Math. Econ. 46, No. 1, 235-241 (2010). MSC: 91B30 91G10 PDF BibTeX XML Cite \textit{J. T. Tsai} et al., Insur. Math. Econ. 46, No. 1, 235--241 (2010; Zbl 1231.91244) Full Text: DOI OpenURL
Wills, Samuel; Sherris, Michael Securitization, structuring and pricing of longevity risk. (English) Zbl 1231.91251 Insur. Math. Econ. 46, No. 1, 173-185 (2010). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{S. Wills} and \textit{M. Sherris}, Insur. Math. Econ. 46, No. 1, 173--185 (2010; Zbl 1231.91251) Full Text: DOI OpenURL
Chen, Hua; Cummins, J. David Longevity bond premiums: the extreme value approach and risk cubic pricing. (English) Zbl 1231.91427 Insur. Math. Econ. 46, No. 1, 150-161 (2010). MSC: 91G20 60G70 91G70 91G80 PDF BibTeX XML Cite \textit{H. Chen} and \textit{J. D. Cummins}, Insur. Math. Econ. 46, No. 1, 150--161 (2010; Zbl 1231.91427) Full Text: DOI OpenURL