Narrow search
Showing 1 - 10 of 42,537
Cover Image
Pricing of longevity derivatives and cost of capital
Zeddouk, Fadoua; Devolder, Pierre - In: Risks : open access journal 7 (2019) 2/41, pp. 1-29
pricing approaches. The Hull and White and CIR extended models are used to represent the evolution of mortality over time. We …
Persistent link: https://www.econbiz.de/10012019297
Cover Image
Tonuity : a novel individual-oriented retirement plan
Chen, An; Hieber, Peter; Klein, Jakob K. - In: Astin bulletin : the journal of the International … 49 (2019) 1, pp. 5-30
Persistent link: https://www.econbiz.de/10012105334
Cover Image
Basis risk in Solvency Capital Requirements for longevity risk
Coppola, Mariarosaria; D'Amato, Valeria - In: Investment management and financial innovations 11 (2014) 3, pp. 53-57
Persistent link: https://www.econbiz.de/10010512183
Cover Image
Calculating Capital Requirements for Longevity Risk in Life Insurance Products Using an Internal Model in Line with Solvency II
Stevens, Ralph - 2009
probability distribution of future mortality rates. The literature has devoted considerable attention to the development of … statistical models to forecast future mortality improvements. However, using such statistical models to determine solvency …, in case mortality rates are forecasted by means of the Lee and Carter (1992) model. Second, we quantify the effects of a …
Persistent link: https://www.econbiz.de/10013155781
Cover Image
A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components
Clemente, Gian Paolo; Della Corte, Francesco; Savelli, Nino - In: Annals of actuarial science : publ. by the Institute of … 16 (2022) 3, pp. 527-546
Persistent link: https://www.econbiz.de/10013469925
Cover Image
An alternative approach to manage mortality catastrophe risks under Solvency II
Lledó, Josep; Pavia, José Manuel; Sánchez Salas, Jorge - In: Risk management : an international journal 25 (2023) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10014326604
Cover Image
Longevity risk from the perspective of the ILS markets
Lane, Morton - In: The Geneva papers on risk and insurance - issues and … 36 (2011) 4, pp. 501-515
Persistent link: https://www.econbiz.de/10009503514
Cover Image
Price bounds of mortality-linked security in incomplete insurance market
Huang, Yu-lieh; Tsai, Jeffrey Tzuhao; Yang, Sharon S.; … - In: Insurance 55 (2014), pp. 30-39
Persistent link: https://www.econbiz.de/10010366219
Cover Image
Forward mortality rates in discrete time II : longevity risk and hedging strategies
Hunt, Andrew; Blake, David - 2016
Persistent link: https://www.econbiz.de/10011449869
Cover Image
Hedging pure endowments with mortality derivatives
Wang, Ting; Young, Virginia R. - In: Insurance 69 (2016), pp. 238-255
Persistent link: https://www.econbiz.de/10011533915