Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee‐Carter Framework

By Michel Denuit, Pierre Devolder, Anne-Cécile Goderniaux. 2007

169 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, General Health Professions

View Paper: https://www.semanticscholar.org/paper/75f88246ce32572f58baf79e752c836f56502f1e

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. Daniel Bauer
2. Jochen Russ
3. M. Börger
4. Peter A. Forsyth
5. X. Lin
6. Guojun Gan
7. Kenneth R. Vetzal

In Economics and Econometrics

1. Daniel Bauer
2. Jochen Russ
3. M. Börger
4. Peter A. Forsyth
5. X. Lin
6. Kenneth R. Vetzal
7. Guojun Gan

In General Health Professions

1. Jochen Russ
2. Daniel Bauer
3. M. Börger
4. Peter A. Forsyth
5. Kenneth R. Vetzal

Citations in the corpus

• Multi-population mortality models: A factor copula approach (2015, unknown): “Wang transform (Dowd et al. 2006, Denuit et al. 2007, Lin and Cox 2008, Chen and Cox 2009) Esscher transform (Chen et al. 2010, Li et al. 2010).”
• The New Life Market (2013, unknown): “• Design and pricing of longevity bonds and 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; Mayhe”
• Pricing Mortality Securities with Correlated Mortality Indexes (2011, unknown): “Lin and Cox (2005), Dowd et al. (2006), and Denuit, Devolder, and Goderniaux (2007) apply the Wang transform (Wang, 2000) to physical distributions in pricing distortion distributions.”
• On the pricing of longevity-linked securities (2010, background): “See e.g. Denuit et al. (2007) or Loisel and Serant (2007).”
• Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing (2010, unknown): “Longevity bonds allow annuity providers to hedge against aggregate longevity risk: if annuitants live longer than anticipated, the insurers would incur losses due to longer payment periods, but they would also receive more coupon payments for holding longevity bonds to offset their losses (Denuit et”
• An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach (2009, unknown): “Earlier developments of stochastic mortality modeling rely on the one-factor model and pioneering work by Lee and Carter (1992), whose LC model is easily applied and provides fairly accurate mortality estimations and population projections.”