Some consumption goods, such as housing, involve long-term commitment and their level of consumption can only be altered with substantial transaction costs. Even though the commitment effect on risk preferences, portfolio choice, and asset prices has been studied, little research has been...

In this paper, we propose a new framework to coherently produce probabilistic mortality forecasts by exploiting techniques in seasonal time-series models, extreme value theory (EVT), and hierarchical forecast reconciliation. We are amongst the first to model and analyze U.S. monthly death counts...

The purpose of this study is to analyze securitization of longevity risk with an emphasis on longevity risk modeling and longevity bond premium pricing. Various longevity derivatives have been proposed, and the capital market has experienced one unsuccessful attempt by the European Investment...

In this paper, we propose a unified framework to simultaneously examine an insurer's mortality immunization strategy and individuals' insurance demand. On the supply side, an insurer chooses an optimal product mix of whole life insurance and deferred annuity by minimising the Conditional...