Mortality derivatives and the option to annuitise

By M. Milevsky, S. Promislow. 2001

329 citations recorded by the source corpus.

Subfields: Demography, Finance, General Health Professions

View Paper: https://www.semanticscholar.org/paper/ba4da27d564cdbd25b80f33dd6132d09c5f6de42

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Citations in the corpus

The fair value of guaranteed annuity options (2006, unknown): “For other proposals regarding the issue of stochastic mortality, see for example Milevsky and Promislow (2001), Ballotta and Haberman (2003a) or Dahl (2003).”
The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case (2006, unknown): “This is similar to the model proposed by Milevsky and Promislow (2001), and has the desirable property of mean reversion, with the parameter a measuring the speed of mean reversion to the long-run male data set for immediate annuitants and, relative to other data sets, the parameters can be…”
Modelling stochastic mortality for dependent lives (2008, unknown): “For example, Milevsky and Promislow (2001) investigate a so-called mean reverting Brownian Gompertz speci(cid:133)cation: the intensity h t is given by with g; (cid:27); b constant and the Brownian motion W uni-dimensional.”
Valuation of Guaranteed Annuity Conversion Options (2003, unknown): “Equations (13), (15) and (17) imply that ∫ T t ( ∫ t 0 μ̃f (v, u) dv + σ ∫ t 0 edW̃v )”
Bringing cost transparency to the life annuity market (2014, background): “Indeed, attempts to value some of the mortality options in variable annuities are the subject of highly technical academic papers (e.g. see Milevsky and Promislow 2001 and Milevsky and Posner 2001, the latter finding that market prices for insurance risk charges are substantially above their…”
On the pricing of longevity-linked securities (2010, background): “Milevsky and Promislow (2001) were among the first to propose a stochastic hazard rate or force of mortality, Dahl (2004) presents a general stochastic model for the mortality intensity, and in Biffis (2005), affine jump-diffusion processes are employed to model both, financial and demographic risk…”
On systematic mortality risk and risk-minimization with survivor swaps (2008, background): “In the literature, various models for the stochastic mortality have been proposed (see, e.g., Marroco & Pitacco (1998), Milevsky & Promislow (2001), Dahl (2004), Biffis (2005), Cairns et al. (2006), Biffis & Millossovich (2006), Schrager (2006), Miltersen & Persson (2006), and references therein).”
Delta–Gamma hedging of mortality and interest rate risk (2012, methodology): “…from the financial domain and in particular from the reduced form models of the credit risk literature, where the time-to-default is described as the first stopping time of a Cox process.1 Mortality modelling via Cox processes has been introduced by Milevsky and Promislow (2001) and Dahl (2004).”
Mortality risk via affine stochastic intensities: calibration and empirical relevance (2008, background): “Milevsky and Promislow (2001) have used a stochastic force of mortality, whose expectation at any future date – under an appropriate choice of the parameters – has a Gompertz specification.”
Longevity/Mortality Risk Modeling and Securities Pricing (2012, unknown): “Risk-neutral pricing method is used by Milevsky and Promislow (2001) and by Cairns, Blake, and Dowd (2006a).”
Valuation and hedging of life insurance liabilities with systematic mortality risk (2006, methodology): “This can be verified by using methods similar to the ones used in Møller (2001c) and Dahl (2004).”
Mortality Risk Modeling: Applications to Insurance Securitization (2010, unknown): “Capital market solutions for unanticipated longevity risk have been explored relatively recently, first appearing in articles by Blake and Burrows (2001), Milevsky and Promislow (2001), Lin and Cox (2005) and others.”
Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice (2016, unknown): “Stijn Van Nieuwerburgh New York University, NBER, and CEPR”
Mortality-dependent financial risk measures (2006, methodology): “…bonds (LBs).3 The first publicly offered mortality derivative – the Swiss Re LB – was then issued in December 2003,4 and this was followed by the European 2 These models include those of Milevsky and Promislow (2001), Yang (2001), Cairns et al. (2006a), Dahl (2004) and Lin and Cox (2005b).”
Understanding, modelling and managing longevity risk: key issues and main challenges (2012, methodology): “…also be extended to a stochastic hazard rate µ(x, t) using two different approaches: Firstly, by analogy with periodic life tables, the period approach models the process s→ µ(x, s) for each age x; in this case, µ(x, s) is referred to as the spot mortality rate (see Milevsky and Promislow (2001)).”
Affine Processes for Dynamic Mortality and Actuarial Valuations (2005, unknown): “…a parallel between insurance contracts and certain credit-sensitive securities (first suggested in Artzner and Delbaen, 1995, and recently used by Milevsky and Promislow, 2001; see also Dahl, 2004) we exploit some results of the so called intensity-based approach to credit risk modelling to…”