Showing 81 - 90 of 106
Persistent link: https://www.econbiz.de/10011685172
Persistent link: https://www.econbiz.de/10011685199
Persistent link: https://www.econbiz.de/10011685204
Persistent link: https://www.econbiz.de/10011825256
In 2003, Swiss Re introduced a mortality-based security designed to hedge excessive mortality changes for its life book of business. The concern was apparently brevity risk, i.e., the risk of premature death. The brevity risk due to a pandemic is similar to the property risk associated with...
Persistent link: https://www.econbiz.de/10010441547
Longevity risk and related capital market solutions have grown increasingly important in recent years, both in academic research and in the markets we refer to as the new Life Market, i.e., the capital market that trades longevity-linked assets and liabilities. Mortality improvements around the...
Persistent link: https://www.econbiz.de/10013024681
Longevity risk and related capital market solutions have grown increasingly important in recent years, both in academic research and in the markets we refer to as the new Life Market, i.e., the capital market that trades longevity-linked assets and liabilities. Mortality improvements around the...
Persistent link: https://www.econbiz.de/10012996251
Modeling mortality co-movements for multiple populations have significant implications for mortality/longevity risk management. A few two-population mortality models have been proposed to date. They are typically based on the assumption that the forecasted mortality experiences of two or more...
Persistent link: https://www.econbiz.de/10013005491
Securitization of longevity/mortality risk provides insurers and pension funds an effective, low-cost approach to transferring the longevity/mortality risk from their balance sheets to capital markets. The modeling and forecasting of the mortality rate is the key point in pricing...
Persistent link: https://www.econbiz.de/10013139315
Modeling mortality dependence for multiple populations has significant implications for mortality/longevity risk management. A natural way to assess multivariate dependence is to use copula models. The application of copula models in the multi-population mortality analysis, however, is still in...
Persistent link: https://www.econbiz.de/10012964227