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From regulatory life tables to stochastic mortality projections : the exponential decline model

Denuit, Michel; Trufin, Julien - In: Insurance / Mathematics & economics 71 (2016), pp. 295-303

Persistent link: https://www.econbiz.de/10011630848

Asset demands and consumption with longevity risk

Jang, Bong-Gyu; Koo, Hyeng-keun; Rhee, Yuna - In: Economic theory : official journal of the Society for … 62 (2016) 3, pp. 587-633

Persistent link: https://www.econbiz.de/10011529384

Guarantee structures in life annuities : a comparative analysis

Pitacco, Ermanno - In: The Geneva papers on risk and insurance - issues and … 41 (2016) 1, pp. 78-97

Persistent link: https://www.econbiz.de/10011657558

Survival ambiguity and welfare

Caliendo, Frank; Gorry, Aspen; Slavov, Sita N. - In: Journal of economic behavior & organization : JEBO 170 (2020), pp. 20-42

Persistent link: https://www.econbiz.de/10012285671

On the market-consistent valuation of participating life insurance heterogeneous contracts under longevity risk

Bacinello, Anna Rita; Chen, An; Sehner, Thorsten; … - In: Risks : open access journal 9 (2021) 1/20, pp. 1-18

The purpose of this paper is to conduct a market-consistent valuation of life insurance participating liabilities sold to a population of partially heterogeneous customers under the joint impact of biometric and financial risk. In particular, the heterogeneity between groups of policyholders...

Persistent link: https://www.econbiz.de/10012423050

Tontines with mixed cohorts

Chen, An; Qian, Linyi; Yang, Zhixin - In: Scandinavian actuarial journal 2021 (2021) 5, pp. 437-455

Persistent link: https://www.econbiz.de/10012588353

Mortality options : the point of view of an insurer

Schmeck, Maren Diane; Schmidli, Hanspeter - In: Insurance / Mathematics & economics 96 (2021), pp. 98-115

Persistent link: https://www.econbiz.de/10012482759

The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty

Li, Johnny Siu-Hang; Liu, Yanxin - In: Insurance / Mathematics & economics 93 (2020), pp. 1-26

Persistent link: https://www.econbiz.de/10012294047

Longevity risk in reinsurance and equity markets

Laursen, Nicolai Søgaard - 2023 - First edition

Persistent link: https://www.econbiz.de/10014304735

Calculating Capital Requirements for Longevity Risk in Life Insurance Products Using an Internal Model in Line with Solvency II

Stevens, Ralph - 2009

statistical models to forecast future mortality improvements. However, using such statistical models to determine solvency … significant risk on pension providers and life insurance companies, and is referred to as longevity risk. The new Solvency II … where, as suggested in Solvency II, the risk premium for longevity risk is determined by the Cost of Capital approach …

Persistent link: https://www.econbiz.de/10013155781