Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing

By Hua Chen, J. Cummins. 2010

62 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, General Health Professions

View Paper: https://www.semanticscholar.org/paper/508328fc9f8176c332002bbae1eb2975ccee2b9f

Citations in the corpus

• The New Life Market (2013, unknown): “…other longevity-linked products (e.g., Blake et al., 2006a; Bauer, 2006; Bauer and Ruβ, 2006; Denuit et al., 2007; Barbarin, 2008; Bauer et al., 2010b; Chen and Cummins, 2010; Kogure and Kurachi, 2010; Dowd et al., 2011a; Lane, 2011; Li and Ng, 2011; Mayhew and Smith, 2011; and Zhou et al., 2011).”
• Pricing Mortality Securities with Correlated Mortality Indexes (2011, unknown): “Beelders and Colarossi (2004) and Chen and Cummins (2010), on the other hand, use the extreme value theory to measure mortality risk of the 2003 Swiss Re bond.”