Valuation and hedging of life insurance liabilities with systematic mortality risk

By M. Dahl, Thomas Møller. 2006

249 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fb42cb87e60c8c1d91500717f91e7c28747354c9

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Citations in the corpus

Stochastic mortality under measure changes (2010, unknown): “PROPOSITION 3.2 Consider the density j j?jƒ given by Eqs.”
On systematic mortality risk and risk-minimization with survivor swaps (2008, methodology): “Marocco and Pitacco (1998), Milevsky and Promislow (2001), Dahl (2004) , Bi‐s (2005), Cairns, Blake and Dowd (2006), Bi‐s and Millossovich (2006), Schrager (2006), Miltersen and Persson (2006) and references therein.”
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).”
A Two-Factor Model for Stochastic Mortality With Parameter Uncertainty: Theory and Calibration (2006, unknown): “Other authors have developed models in a continuous-time framework (see, for example, Milevsky and Promislow, 2001; Dahl, 2004; Dahl and Møller, 2005; Miltersen and Persson, 2005; Biffis, 2005; Schrager, 2006).”
Modeling Mortality With Jumps: Applications to Mortality Securitization (2009, unknown): “Continuous time models (e.g., Milevsky and Promislow, 2001; Dahl, 2004; Dahl and Møller 2005; Miltersen and Persson 2005; Biffs, 2005; Schrager, 2006) help us understand the evolution of mortality rates over time, but are relatively intractable.”
Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* (2006, background): “For more detail, see Section 2.1.”
A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009, background): “…financial instruments (Blake and Burrows 2001; Blake, Cairns, and Dowd 2006; Blake et al. 2006; Dowd et al. 2006; Dawson et al. 2007), for pricing such instruments (Cairns, Blake, and Dowd 2006a,b), and for using these instruments for hedging (Dahl and Møller 2006; Dahl, Melchior, and Møller 2008).”
Mortality Risk Modeling: Applications to Insurance Securitization (2010, unknown): “Marocco and Pitacco (1998), Milevsky and Promislow (2001), Dahl (2004), Miltersen and Persson (2005), Cairns et al. (2006), Dahl and Møller (2006), Gründl et al. (2006), Ballotta and Haberman (2006), Biffis and Millossovich (2006) and Bauer and Kramer (2007) focus on mortality risk as deviations…”
The New Life Market (2013, background): “• Longevity indices (e.g., Denuit, 2009) • Longevity risk hedging (e.g., Dahl and Møller, 2006; Friedberg and Webb, 2007; Cairns et al., 2008, 2013; Coughlan et al., 2008; Tsai et al., 2010; Wang et al., 2010; Coughlan et al., 2011; Li and Hardy, 2011; Tzeng et al., 2011; and Wang et al., 2011b) •…”
Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives (2011, methodology): “Affine mortality models were further developed by Biffis (2005) [3], who introduces the use of jump-diffusion, and Dahl and Møller (2006) [18], who extend the model to include a mortality improvement process using the CoxIngersoll-Ross model.”
Delta–Gamma hedging of mortality and interest rate risk (2012, methodology): “This can be done using a version of Girsanov’s theorem, as described in Jacod and Shiryaev (1987) and applied in the actuarial setting in Dahl and Møller (2006): Theorem 5.1 Let the bi-dimensional process θ(t) := [θx(t) θF (t)] and the univariate, positive one ϕ(t) be It -predictable, with∫ T 0 θ2i…”
Mortality Regimes and Pricing (2011, unknown): “…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 Kurachi 2010; Wills and Sherris 2010; Yang et al. 2010).”