Stochastic portfolio specific mortality and the quantification of mortality basis risk

By R. Plat. 2009

73 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, General Health Professions

View Paper: https://www.semanticscholar.org/paper/3162746cf84557637b20cca16c805ecf920cab4a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Andrew Ngai
2. Michael Sherris
3. Andrew J. G. Cairns
4. Elena Vigna
5. Kevin Dowd
6. David P. Blake
7. Mary R. Hardy
8. H. Booth

In Economics and Econometrics

1. Andrew Ngai
2. Michael Sherris
3. Andrew J. G. Cairns
4. H. Booth
5. L. Tickle

In General Health Professions

1. Andrew Ngai
2. Michael Sherris
3. Andrew J. G. Cairns
4. Kevin Dowd
5. David P. Blake
6. Elena Vigna

Citations in the corpus

• Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging (2011, methodology): “For further discussion of multipopulation modelling, see Cairns et al. (2011a,b), Dowd et al. (2011a,b), Dahl et al. (2008), Li and Lee (2005), Plat (2009), Jarner and Kryger (2011), Li and Hardy (2011).”
• Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives (2011, background): “More recently, Plat (2009) [39] assesses longevity risk and q-forward hedge effectiveness for a sample insurance portfolio with a stochastic factor model to describe portfolio specific mortality in relation to population mortality.”