Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts

By M. Dahl. 2004

391 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c24852bcf9c940de316f652846eecb38343a9fe0

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Citations in the corpus

Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives (2011, background): “Dahl (2004) [17] introduced a class of models, known as affine models, which have been popular due to their tractability.”
Securitization of Catastrophe Mortality Risks (2008, neutral): “they describe future mortality stochastic processes. Dahl (2003) and Milevsky and Promislow”
Mortality Regimes and Pricing (2011, neutral): “…considers different scenarios and uses various stochastic processes to model mortality and/or longevity risk (e.g., Milevsky and Promislow 2001; Dahl 2004; Ballotta and Haberman 2006; Cairns et al. 2006; Cox et al. 2006; Dahl and Møller 2006; Gründl et al. 2006; Lin and Cox 2008; Kogure and…”
Delta–Gamma hedging of mortality and interest rate risk (2012, methodology): “The second approach was discussed by Dahl (2004) and Cairns, Blake, Dowd, and MacMinn (2006) and has witnessed a lively debate, see f.i. Blake, De Waegenaere, MacMinn, and Nijman (2010) and references therein.”
The New Life Market (2013, neutral): “37 See also Cowley and Cummins (2005), Lin and Cox (2005), Dahl (2004), Cairns et al.(2006a), Cox and Lin (2007), Biffis and Blake (2010a), Cox et al. (2010), Wills and Sherris (2010), Kim and Choi (2011), Huang et al. (2011) and Yang (2011). an especially attractive option when the company is…”
Longevity Risk, Retirement Savings, and Financial Innovation (2012, neutral): “There is a growing literature that studies the optimal pricing of longevity bonds and related instruments (see, for example, Dahl (2004) and Carins, Blake and Dowd (2006)).”
Mortality modelling with Lévy processes (2008, background): “In many papers, the mortality hazard rate depends on an affine process, see for instance Biffis (2005 a), Biffis et al. (2005 b), Biffis and Denuit (2006), Dahl (2004), Dahl and Møller (2006), Luciano and Vigna (2005), Schrager (2006).”
Affine Processes for Dynamic Mortality and Actuarial Valuations (2005, neutral): “…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 derive closedform expressions for the…”
Mortality risk via affine stochastic intensities: calibration and empirical relevance (2008, methodology): “Dahl (2004), Biffis (2005), Denuit and Devolder (2006) and Schrager (2006) in modelling the stochastic force of mortality have applied the same mathematical tools used in the credit risk literature to model the time to default.”
A Two-Factor Model for Stochastic Mortality With Parameter Uncertainty: Theory and Calibration (2006, positive): “To price a mortality-linked security we adopt the risk-adjusted (or ‘risk-neutral’) approach to pricing adopted by, for example, Milevsky and Promislow (2001) and Dahl (2004). Given the current dearth of market data, we propose a simple method for making the adjustment between real and risk-adjusted”
Mortality Risk Modeling: Applications to Insurance Securitization (2010, neutral): “A number of recent studies have sought to model mortality trend involving both age-dependent and time-dependent terms (Lee and Carter 1992, Renshaw et al. 1996, Lee 2000, Sithole et al. 2000, Milevsky and Promislow 2001, Olivieri and Pitacco 2002, Dahl 2004, Cairns et al. 2006).”
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).”
Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* (2006, methodology): “Dahl (2004) applies his model to problems involving insurance contracts with mortality-linked cashflows.”
On systematic mortality risk and risk-minimization with survivor swaps (2008, methodology): “The model is inspired by the one proposed in Dahl (2004) and Dahl and Moller (2006) and uses the so-called CIR-processes known from the financial literature for the modeling of mortality intensities.”