[go: up one dir, main page]
create a website
Longevity risk and capital markets: The 2015–16 update. (2018). Blake, David ; MacMinn, Richard ; Loisel, Stephane ; el Karoui, Nicole.
In: Insurance: Mathematics and Economics.
RePEc:eee:insuma:v:78:y:2018:i:c:p:157-173.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 221

References cited by this document

Cocites: 36

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models. (2022). Ziveyi, Jonathan ; Villegas, Andres M ; Sherris, Michael ; Huang, Zhiping.
    In: Risks.
    RePEc:gam:jrisks:v:10:y:2022:i:9:p:183-:d:915479.

    Full description at Econpapers || Download paper

  2. Optimal life-cycle labour supply, consumption, and investment: The role of longevity-linked assets. (2020). Regis, Luca ; Menoncin, Francesco.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620301977.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ai, J. ; Brockett, P.L. ; Golden, L. ; Zhu, W. Health state transitions and longevity effects on retirees optimal annuitization. 2017 J. Risk Insur.. 84 319-344
    Paper not yet in RePEc: Add citation now

  2. Ai, J. ; Brockett, P.L. ; Jacobson, A.F. A new defined benefit pension risk measurement methodology. 2015 Insurance Math. Econom.. 63 40-51

  3. Alai, D.H. ; Arnold (-Gaille), S. ; Sherris, M. Modelling cause-of-death mortality and the impact of cause-elimination. 2014 Ann. Actuar. Sci.. 9 167-186
    Paper not yet in RePEc: Add citation now

  4. Alai, D.H. ; Chen, H. ; Cho, D. ; Hanewald, K. ; Michael Sherris, M. Developing equity release markets: Risk analysis for reverse mortgages and home reversions. 2014 N. Am. Actuar. J.. 18 217-241

  5. Alai, D.H. ; Sherris, M. Rethinking age-period-cohort mortality trend models. 2014 Scand. Actuar. J.. 2014 208-227
    Paper not yet in RePEc: Add citation now
  6. Aleksic, M.-C. ; Börger, M. . 2012 University of Ulm:
    Paper not yet in RePEc: Add citation now
  7. Antolin, P. ; Blommestein, H. . 2007 OECD Publishing: Paris
    Paper not yet in RePEc: Add citation now
  8. Aro, H. Systematic and non-systematic mortality risk in pension portfolios. 2014 N. Am. Actuar. J.. 18 59-67
    Paper not yet in RePEc: Add citation now
  9. Börger, M. ; Ruß, J. . 2012 University of Ulm:
    Paper not yet in RePEc: Add citation now

  10. Barbarin, J. Heath–Jarrow–Morton modelling of longevity bonds and the risk minimization of life insurance portfolios. 2008 Insurance Math. Econom.. 43 41-55

  11. Barrieu, P. ; Bensusan, H. ; El Karoui, N. ; Hillairet, C. ; Loisel, S. ; Ravanelli, C. ; Salhi, Y. Understanding, modeling and managing longevity risk: Key issues and main challenges. 2012 Scand. Actuar. J.. 3 203-231

  12. Barrieu, P.M. ; Veraart, A.M. Pricing q-forward contracts: An evaluation of estimation window and pricing method under different mortality models. 2016 Scand. Actuar. J.. 2016 146-166

  13. Bauer, D. . 2006 University of Ulm:
    Paper not yet in RePEc: Add citation now

  14. Bauer, D. ; Börger, M. ; Ruß, J. On the pricing of longevity-linked securities. 2010 Insurance Math. Econom.. 46 139-149

  15. Bauer, D. ; Börger, M. ; Ruß, J. ; Zwiesler, H.J. The volatility of mortality. 2008 Asia-Pacific J. Risk Insur.. 3 172-199

  16. Bauer, D. ; Benth, F.E. ; Kiesel, R. . 2010 University of Ulm:
    Paper not yet in RePEc: Add citation now
  17. Bauer, D. ; Kramer, F. . 2007 University of Ulm:
    Paper not yet in RePEc: Add citation now
  18. Bauer, D. ; Ruß, J. . 2006 University of Ulm:
    Paper not yet in RePEc: Add citation now

  19. Bayraktar, E. ; Milevsky, M. ; Promislow, D. ; Young, V. Valuation of mortality risk via the instantaneous sharpe ratio: Applications to life annuities. 2009 J. Econom. Dynam. Control. 3 676-691

  20. Berkum, F.V. ; Antonio, K. ; Vellekoop, M.H. The impact of multiple structural changes on mortality predictions. 2016 Scand. Actuar. J.. 2016 581-603
    Paper not yet in RePEc: Add citation now

  21. Biffis, E. Affine processes for dynamic mortality and actuarial valuations. 2005 Insurance Math. Econom.. 37 443-468

  22. Biffis, E. ; Blake, D. Informed intermediation of longevity exposures. 2013 J. Risk Insur.. 80 559-584

  23. Biffis, E. ; Blake, D. Keeping some skin in the game: How to start a capital market in longevity risk transfers. 2014 N. Am. Actuar. J.. 18 14-21

  24. Biffis, E. ; Blake, D. Securitizing and tranching longevity exposures. 2010 Insurance Math. Econom.. 46 186-197

  25. Biffis, E. ; Denuit, M. ; Devolder, P. Stochastic mortality under measure changes. 2010 Scand. Actuar. J.. 2010 284-311
    Paper not yet in RePEc: Add citation now
  26. Biffis, E. ; Lin, Y. ; Milidonis, A. The cross-section of Asia-Pacific mortality dynamics: Implications for longevity risk sharing. 2017 J. Risk Insur.. 84 515-532
    Paper not yet in RePEc: Add citation now

  27. Bisetti, E. ; Favero, C.A. Measuring the impact of longevity risk on pension systems: The case of italy. 2014 N. Am. Actuar. J.. 18 87-104

  28. Blake, D. ; Boardman, T. ; Cairns, A. Sharing longevity risk: Why governments should issue longevity bonds. 2014 N. Am. Actuar. J.. 18 258-277

  29. Blake, D. ; Burrows, W. Survivor bonds: Helping to hedge mortality risk. 2001 J. Risk Insur.. 68 339-348
    Paper not yet in RePEc: Add citation now

  30. Blake, D. ; Cairns, A. ; Dowd, K. Living with mortality: Longevity bonds and other mortality-linked securities. 2006 Br. Actuar. J.. 12 153-197

  31. Blake, D. ; Cairns, A.J.G. ; Coughlan, G.D. ; Dowd, K. ; MacMinn, R. The new life market. 2013 J. Risk Insur.. 80 501-558

  32. Blake, D. ; Cairns, A.J.G. ; Dowd, K. ; MacMinn, R. Longevity bonds: Financial engineering, valuation and hedging. 2006 J. Risk Insur.. 73 647-672

  33. Blake, D. ; Dowd, K. ; Cairns, A.J.G. Longevity risk and the grim reapers toxic tail: The Survivor fan charts. 2008 Insurance Math. Econom.. 42 1062-1068

  34. Blake, D., Harrison, D., 2008. And Death Shall Have No Dominion: Life Settlements and the Ethics of Profiting from Mortality, Pensions Institute Report, July. Available at pensions-institute.org/DeathShallHaveNoDominion_Final_3July08.pdf.
    Paper not yet in RePEc: Add citation now
  35. Booth, H. ; Maindonald, J. ; Smith, L. . 2002 Australian National University:
    Paper not yet in RePEc: Add citation now
  36. Booth, H. ; Maindonald, J. ; Smith, L. Applying Lee–Carter under conditions of variable mortality decline. 2002 Popul. Stud.. 56 325-336
    Paper not yet in RePEc: Add citation now
  37. Bravo, J. . 2011 University of Evora:
    Paper not yet in RePEc: Add citation now

  38. Brockett, P.L. ; Chuang, S.-L. ; Deng, Y. ; MacMinn, R.D. Incorporating longevity risk and medical information into life settlement pricing. 2013 J. Risk Insur.. 80 799-826

  39. Brouhns, N. ; Denuit, M. ; Van Keilegom, I. Bootstrapping the poisson log-bilinear model for mortality forecasting. 2005 Scand. Actuar. J.. 2005 212-224
    Paper not yet in RePEc: Add citation now
  40. Brouhns, N. ; Denuit, M. ; Vermunt, J. Measuring the longevity risk in mortality projections. 2002 Bull. Swiss Assoc. Actuar.. 2 105-130
    Paper not yet in RePEc: Add citation now

  41. Brouhns, N. ; Denuit, M. ; Vermunt, J.K. A poisson log-bilinear regression approach to the construction of projected lifetables. 2002 Insurance Math. Econom.. 31 373-393

  42. Brown, J. ; Warshawsky, M. The life care annuity: A new empirical examination of an insurance innovation which addresses problems in the markets for life annuities and long-term care insurance. 2013 J. Risk Insur.. 80 677-704

  43. Cairns, A.J. ; Dowd, K. ; Blake, D. ; Coughlan, G.D. Longevity hedge effectiveness: A decomposition. 2014 Quant. Finance. 14 217-235

  44. Cairns, A.J.G. Robust hedging of longevity risk. 2013 J. Risk Insur.. 80 621-648

  45. Cairns, A.J.G. ; Blake, D. ; Dowd, K. A two-factor model for stochastic mortality with parameter uncertainty: Theory and calibration. 2006 J. Risk Insur.. 73 687-718

  46. Cairns, A.J.G. ; Blake, D. ; Dowd, K. Modelling and management of mortality risk: A review. 2008 Scand. Actuar. J.. 2–3 79-113
    Paper not yet in RePEc: Add citation now

  47. Cairns, A.J.G. ; Blake, D. ; Dowd, K. Pricing death: Frameworks for the valuation and securitization of mortality risk. 2006 Astin Bull.. 36 79-120

  48. Cairns, A.J.G. ; Blake, D. ; Dowd, K. ; Coughlan, G.D. ; Epstein, D. ; Khalaf-Allah, M. Mortality density forecasts: An analysis of six stochastic mortality models. 2011 Insurance Math. Econom.. 48 355-367

  49. Cairns, A.J.G. ; Blake, D. ; Dowd, K. ; Coughlan, G.D. ; Epstein, D. ; Ong, A. ; Balevich, I. A quantitative comparison of stochastic mortality models using data from England & Wales and the United States. 2009 N. Am. Actuar. J.. 13 1-35

  50. Cairns, A.J.G. ; Blake, D. ; Dowd, K. ; Coughlan, G.D. ; Khalaf-Allah, M. Bayesian stochastic mortality modelling for two populations. 2011 Astin Bull.. 41 29-59

  51. Chan, W.-S. ; Li, J.S.-H. ; Li, J. The CBD mortality indexes: Modeling and applications. 2014 N. Am. Actuar. J.. 18 38-58

  52. Chen, B. ; Zhang, L. ; Zhao, L. On the robustness of longevity risk pricing. 2010 Insurance Math. Econom.. 47 358-373

  53. Chen, H. ; Cox, S.H. Modeling mortality with jumps: Applications to mortality securitization. 2009 J. Risk Insur.. 76 727-751

  54. Chen, H. ; Cummins, J.D. Longevity bond premiums: The extreme value approach and risk cubic pricing. 2010 Insurance Math. Econom.. 46 150-161

  55. Chen, H. ; MacMinn, R.D. ; Sun, T. Mortality dependence and longevity bond pricing: A dynamic factor copula mortality model with the GAS structure. 2017 J. Risk Insur.. 84 393-416
    Paper not yet in RePEc: Add citation now

  56. Chen, H. ; MacMinn, R.D. ; Sun, T. Multi-population mortality models: A factor copula approach. 2015 Insurance Math. Econom.. 63 135-146

  57. Chen, H. ; Sherris, M. ; Sun, T. ; Zhu, W. Living with ambiguity: Pricing mortality-linked securities with smooth ambiguity preferences. 2013 J. Risk Insur.. 80 705-732

  58. Chuang, S.-L. ; Brockett, P.L. Modeling and pricing longevity derivatives using stochastic mortality rates and the esscher transforms. 2014 N. Am. Actuar. J.. 18 22-37

  59. Cocco, J.F. ; Gomes, F.J. . 2008 London Business School:
    Paper not yet in RePEc: Add citation now

  60. Cocco, J.F. ; Gomes, F.J. Longevity risk, retirement savings, and financial innovation. 2012 J. Financ. Econ.. 103 507-529

  61. Coelho, E. ; Nunes, L.C. Forecasting mortality in the event of a structural change. 2011 J. Roy. Statist. Soc. Ser. A. 174 713-736

  62. Coughlan, G.D. ; Epstein, D. ; Sinha, A. ; Honig, P. . 2007 J.P. Morgan: London
    Paper not yet in RePEc: Add citation now

  63. Coughlan, G.D. ; Khalaf-Allah, M. ; Ye, Y. ; Kumar, S. ; Cairns, A.J.G. ; Blake, D. ; Dowd, K. Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness. 2011 N. Am. Actuar. J.. 15 150-176

  64. Cowley, A. ; Cummins, J.D. Securitization of life insurance assets and liabilities. 2005 J. Risk Insur.. 72 193-226

  65. Cox, S.H. ; Lin, Y. Natural hedging of life and annuity mortality risks. 2007 N. Am. Actuar. J.. 11 1-15

  66. Cox, S.H. ; Lin, Y. ; Pedersen, H. Mortality risk modeling: Applications to insurance securitization. 2010 Insurance Math. Econom.. 46 242-253

  67. Cox, S.H. ; Lin, Y. ; Tian, R. ; Yu, J. Managing capital market and longevity risks in a defined benefit pension plan. 2013 J. Risk Insur.. 80 585-620

  68. Cox, S.H. ; Lin, Y. ; Tian, R. ; Zuluaga, L.F. Mortality portfolio risk management. 2013 J. Risk Insur.. 80 853-890

  69. Currie, I. ; Durbán, M. ; Eilers, P. Smoothing and forecasting mortality rates. 2004 Stat. Model.. 4 279-298
    Paper not yet in RePEc: Add citation now
  70. Currie, I.D. On fitting generalized linear and non-linear models of mortality. 2016 Scand. Actuar. J.. 2016 356-383
    Paper not yet in RePEc: Add citation now
  71. Czado, C. ; Delwarde, A. ; Denuit, M. Bayesian Poisson log-linear mortality projections. 2005 Insurance Math. Econom.. 36 260-284
    Paper not yet in RePEc: Add citation now
  72. D’Amato, V. ; Di Lorenzo, E. ; Haberman, S. ; Russolillo, M. ; Sibillo, M. The Poisson log-bilinear Lee–Carter model: Applications of efficient bootstrap methods to annuity analyses. 2011 N. Am. Actuar. J.. 15 315-333
    Paper not yet in RePEc: Add citation now

  73. D’Amato, V. ; Haberman, S. ; Piscopo, G. ; Russolillo, M. Modelling dependent data for longevity projections. 2012 Insur. Math. Econ.. 51 694-701

  74. D’Amato, V. ; Haberman, S. ; Piscopo, G. ; Russolillo, M. ; Trapani, L. Detecting common longevity trends by a multiple population approach. 2014 N. Am. Actuar. J.. 18 139-149

  75. D’Amato, V. ; Haberman, S. ; Russolillo, M. The stratified sampling bootstrap: An algorithm for measuring the uncertainty in forecast mortality rates in the Poisson Lee–Carter setting. 2012 Methodol. Comput. Appl. Probab.. 14 135-148
    Paper not yet in RePEc: Add citation now

  76. Dahl, M. Stochastic mortality in life insurance: Market reserves and mortality-linked insurance contracts. 2004 Insurance Math. Econom.. 35 113-136

  77. Dahl, M. ; Møller, T. Valuation and hedging of life insurance risks with systematic mortality risk. 2006 Insurance Math. Econom.. 39 193-217
    Paper not yet in RePEc: Add citation now

  78. Danesi, I.L. ; Haberman, S. ; Millossovich, P. Forecasting mortality in subpopulations using Lee–Carter type models: A comparison. 2015 Insurance Math. Econom.. 62 151-161

  79. Darkiewicz, G. ; Hoedemakers, T. . 2004 Catholic University of Leuven:
    Paper not yet in RePEc: Add citation now

  80. Dawson, P. ; Blake, D. ; Cairns, A.J.G. ; Dowd, K. Survivor derivatives: A consistent pricing framework. 2010 J. Risk Insur.. 77 579-596

  81. Debonneuil, E., 2010. Simple Model of Mortality Trends aiming at Universality: Lee Carter + Cohort. Quantitative Finance Papers 1003:1802, arXiv:1003:1802.

  82. Delwarde, A. ; Denuit, M. ; Eilers, P. Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting: A penalised log-likelihood approach. 2007 Statistical Modelling. 7 29-48
    Paper not yet in RePEc: Add citation now
  83. Deng, Y. ; Brockett, P. ; MacMinn, R. . 2011 University of Texas:
    Paper not yet in RePEc: Add citation now

  84. Deng, Y. ; Brockett, P. ; MacMinn, R. Longevity/mortality risk modeling and securities pricing. 2012 J. Risk Insur.. 79 697-721

  85. Denuit, M.M. An index for longevity risk transfer. 2009 J. Comput. Appl. Math.. 230 411-417
    Paper not yet in RePEc: Add citation now

  86. Denuit, M.M. ; Devolder, P. ; Goderniaux, A. Securitization of longevity risk: Pricing survivor bonds with wang transform in the Lee–Carter framework. 2007 J. Risk Insur.. 74 87-113

  87. Denuit, M.M. ; Haberman, S. ; Renshaw, A. Longevity-contingent deferred life annuities. 2015 J. Pension Econ. Finance. 14 315-327

  88. Donnelly, C. Quantifying mortality risk in small defined-benefit pension schemes. 2014 Scand. Actuar. J.. 2014 41-57
    Paper not yet in RePEc: Add citation now

  89. Dowd, K. ; Blake, D. ; Cairns, A.J.G. A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks. 2011 N. Am. Actuar. J.. 15 237-247

  90. Dowd, K. ; Blake, D. ; Cairns, A.J.G. Facing up to uncertain life expectancy: The longevity fan charts. 2010 Demography. 47 67-78

  91. Dowd, K. ; Blake, D. ; Cairns, A.J.G. The myth of methuselah and the uncertainty of death: The mortality fan charts. 2016 Risks. 4 21-

  92. Dowd, K. ; Blake, D. ; Cairns, A.J.G. ; Dawson, P. Survivor swaps. 2006 J. Risk Insur.. 73 1-17
    Paper not yet in RePEc: Add citation now

  93. Dowd, K. ; Cairns, A.J.G. ; Blake, D. ; Coughlan, G.D. ; Epstein, D. ; Khalaf-Allah, M. Backtesting stochastic mortality models: An ex-post evaluation of multi-period-ahead density forecasts. 2010 N. Am. Actuar. J.. 14 281-298

  94. Dowd, K. ; Cairns, A.J.G. ; Blake, D. ; Coughlan, G.D. ; Epstein, D. ; Khalaf-Allah, M. Evaluating the goodness of fit of stochastic mortality models. 2010 Insurance Math. Econom.. 47 255-265

  95. Dowd, K. ; Cairns, A.J.G. ; Blake, D. ; Coughlan, G.D. ; Khalaf-Allah, M. A gravity model of mortality rates for two related populations. 2011 N. Am. Actuar. J.. 15 334-356

  96. Friedberg, L. ; Webb, A. Life is cheap: Using mortality bonds to hedge aggregate mortality risk. 2007 B.E. J. Econ. Anal. Policy. 7 -

  97. Gaille, S. ; Sherris, M. Modelling mortality with common stochastic long-run trends. 2011 Geneva Pap. Risk Insur. –Issues Pract.. 36 595-621

  98. Gao, H. ; Mamon, R. ; Liu, X. ; Tenyakov, A. Mortality modelling with regime-switching for the valuation of a guaranteed annuity option. 2015 Insurance Math. Econom.. 63 108-120

  99. Gong, G. ; Webb, A. Evaluating the advanced life deferred annuity: An annuity people might actually buy. 2010 Insurance Math. Econom.. 46 210-221

  100. Gourieroux, C. ; Lu, Y. Love and death: A Freund model with frailty. 2015 Insurance Math. Econom.. 63 191-203

  101. Gourieroux, C. ; Monfort, A. Quadratic stochastic intensity and prospective mortality tables. 2008 Insurance Math. Econom.. 43 174-184

  102. Haberman, S. ; Renshaw, A. A comparative study of parametric mortality projection models. 2011 Insurance Math. Econom.. 48 35-55

  103. Haberman, S. ; Renshaw, A. Modelling and projecting mortality improvement rates using a cohort perspective. 2013 Insurance Math. Econom.. 53 150-168

  104. Haberman, S. ; Renshaw, A. On age-period-cohort parametric mortality rate projections. 2009 Insurance Math. Econom.. 45 255-270

  105. Haberman, S. ; Renshaw, A. Parametric mortality improvement rate modelling and projecting. 2012 Insurance Math. Econom.. 50 309-333

  106. Hainaut, D. Multidimensional Lee–Carter model with switching mortality processes. 2012 Insurance Math. Econom.. 50 236-246

  107. Hanewald, K. Explaining mortality dynamics: The role of macroeconomic fluctuations and cause of death trends. 2011 N. Am. Actuar. J.. 15 290-314

  108. Hari, N. ; De Waegenaere, A. ; Melenberg, B. ; Nijman, T. Estimating the term structure of mortality. 2008 Insurance Math. Econom.. 42 492-504

  109. Harrison, D. ; Blake, D. . 2013 Pensions Institute: London
    Paper not yet in RePEc: Add citation now

  110. Hatzopoulos, P. ; Haberman, S. A dynamic parameterization modeling for the age-period-cohort mortality. 2011 Insurance Math. Econom.. 49 155-174

  111. Hatzopoulos, P. ; Haberman, S. A parameterized approach to modeling and forecasting mortality. 2009 Insurance Math. Econom.. 44 103-123

  112. Hobcraft, J. ; Menken, J. ; Preston, S.H. Age, period and cohort effects in demography: A review. 1982 Population Index. 48 4-43
    Paper not yet in RePEc: Add citation now

  113. Horneff, V. ; Maurer, R. ; Mitchell, O.S. ; Rogalla, R. Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection. 2015 Insurance Math. Econom.. 63 91-107

  114. Horneff, W.J. ; Maurer, R. ; Rogalla, R. Dynamic portfolio choice with deferred annuities. 2010 J. Bank. Finance. 34 2652-2664

  115. Horneff, W.J. ; Maurer, R.H. ; Mitchell, O.S. ; Stamos, M.Z. Asset allocation and location over the life cycle with investment-linked survival-contingent payouts. 2009 J. Bank. Finance. 33 1688-1699

  116. Horneff, W.J. ; Maurer, R.H. ; Stamos, M.Z. Life-cycle asset allocation with annuity markets: Is longevity insurance a good deal?. 2008 J. Econom. Dynam. Control. 32 3590-3612

  117. Huang, H.-C. ; Wang, C.-W. ; Miao, Y.-C. Securitization of crossover risk in reverse mortgages. 2011 Geneva Pap. Risk Insur. –Issues Pract.. 36 622-647

  118. Huang, H., Milevsky, M., Salisbury, T.S., (2012). Optimal Retirement Consumption with a Stochastic Force of Mortality, Papers arXiv:1205.2295.

  119. Hunt, A. ; Blake, D. A general procedure for constructing mortality models. 2014 N. Am. Actuar. J.. 18 116-138

  120. Hunt, A. ; Blake, D. Modelling longevity bonds: Analysing the Swiss Re Kortis bond. 2015 Insurance Math. Econom.. 63 12-29

  121. Hunt, A. ; Villegas, A.M. Robustness and convergence in the Lee–Carter model with Cohort effects. 2015 Insur. Math. Econ.. 64 186-202

  122. Hunt, A., Blake, D., 2016. The Good, the Bad and the Healthy: The Medical Underwriting Revolution in the Defined Benefit De-risking Market, Pensions Institute, January, www.pensions-institute.org/reports/GoodBadHealthy.pdf.
    Paper not yet in RePEc: Add citation now

  123. Hyndman, R. ; Booth, H. ; Yasmeen, F. Coherent mortality forecasting the product-ratio method with functional time series models. 2013 Demography. 50 261-283

  124. International Monetary Fund, 2012. The Financial Impact of Longevity Risk. In: Global Financial Stability Report, April, Washington DC (Chapter 4).
    Paper not yet in RePEc: Add citation now

  125. Jarner, S.R.F. ; Kryger, E.M. Modelling adult mortality in small populations: The SAINT model. 2011 Astin Bull.. 41 377-418

  126. Joint Forum, 2013. Longevity Risk Transfer Markets: Market Structure, Growth Drivers and Impediments, and Potential Risks. Joint Forum of the Basel Committee on Banking Supervision, International Organization of Securities Commissions, and International Association of Insurance Supervisors, c/o Bank for International Settlements, Basel, Switzerland, December. Available at www.bis.org/publ/joint34.pdf.
    Paper not yet in RePEc: Add citation now
  127. Kessler, A., Bugler, N., Nicenko, V., Gillis, C., 2016. Sidecars: Alternative capital or reinsurance?. In: Presentation at the Longevity 12 Conference, Chicago, 29 September.
    Paper not yet in RePEc: Add citation now

  128. Kleinow, T. A common age effect model for the mortality of multiple populations. 2015 Insurance Math. Econom.. 63 147-152

  129. Kleinow, T. ; Cairns, A. Mortality and smoking prevalence: An empirical investigation in ten developed countries. 2013 Br. Actuar. J.. 18 452-466

  130. Kogure, A. ; Kurachi, Y. A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions. 2010 Insurance Math. Econom.. 46 162-172

  131. Kogure, A. ; Li, J. ; Kamiya, S. A Bayesian multivariate risk-neutral method for pricing reverse mortgages. 2014 N. Am. Actuar. J.. 18 242-257

  132. Koijen, R.S.J. ; Nijman, T.E. ; Werker, B.J.M. Optimal annuity risk management. 2011 Rev. Finance. 15 799-833

  133. Koissi, M. ; Shapiro, A. ; Hognas, G. Evaluating and extending the Lee–Carter model for mortality forecasting: Bootstrap confidence interval. 2006 Insurance Math. Econom.. 38 1-20

  134. Kuang, D. ; Nielsen, B. ; Nielsen, J. Forecasting with the age-period-cohort model and the extended chain-ladder model. 2008 Biometrika. 95 987-991

  135. Kuang, D. ; Nielsen, B. ; Nielsen, J. Identification of the age-period-cohort model and the extended chain-ladder model. 2008 Biometrika. 95 979-986

  136. Lane, M. Longevity risk from the perspective of the ILS markets. 2011 Geneva Pap. Risk Insur. –Issues Pract.. 36 501-515

  137. Lee, R.D. ; Carter, L.R. Modeling and forecasting U.S. mortality. 1992 J. Amer. Statist. Assoc.. 87 659-671

  138. Li, H. ; De Waegenaere, A. ; Melenberg, B. Robust mean–variance hedging of longevity risk. 2017 J. Risk Insur.. 84 459-476
    Paper not yet in RePEc: Add citation now

  139. Li, H. ; De Waegenaere, A. ; Melenberg, B. The choice of sample size for mortality forecasting: A Bayesian learning approach. 2015 Insurance Math. Econom.. 63 153-168

  140. Li, J.S.-H. Pricing longevity risk with the parametric bootstrap: A Maximum entropy approach. 2010 Insurance Math. Econom.. 47 176-186

  141. Li, J.S.-H. ; Chan, W.-S. Time-Simultaneous prediction bands: A new look at the uncertainty involved in forecasting mortality. 2011 Insurance Math. Econom.. 49 81-88

  142. Li, J.S.-H. ; Chan, W.-S. ; Cheung, S.-H. Structural changes in the Lee–Carter mortality indexes: Detection and implications. 2011 N. Am. Actuar. J.. 15 13-31
    Paper not yet in RePEc: Add citation now

  143. Li, J.S.-H. ; Hardy, M. ; Tan, K. Uncertainty in mortality forecasting: An extension to the classic Lee–Carter approach. 2009 Astin Bull.. 39 137-164

  144. Li, J.S.-H. ; Hardy, M.R. Measuring basis risk involved in longevity hedges. 2011 N. Am. Actuar. J.. 15 177-200

  145. Li, J.S.-H. ; Luo, A. Key q-duration: A framework for hedging longevity risk. 2012 Astin Bull.. 42 413-452

  146. Li, J.S.-H. ; Zhou, R. ; Hardy, M.R. A step-by-step guide to building two-population stochastic mortality models. 2015 Insurance Math. Econom.. 63 121-134

  147. Li, N. ; Lee, R.D. Coherent mortality forecasts for a group of populations: An extension of the Lee–Carter method. 2005 Demography. 42 575-594

  148. Lin, T. ; Tzeng, L. An additive stochastic model of mortality rates: An application to longevity risk in reserve evaluation. 2010 Insurance Math. Econom.. 46 423-435

  149. Lin, Y. ; Cox, S. Securitization of mortality risks in life annuities. 2005 J. Risk Insur.. 72 227-252

  150. Lin, Y. ; Liu, S. ; Yu, J. Pricing mortality securities with correlated mortality indexes. 2013 J. Risk Insur.. 80 921-948

  151. Lin, Y. ; MacMinn, R. ; Tian, R. ; Yu, J. Pension risk management in the enterprise risk management framework. 2017 J. Risk Insur.. 84 345-366
    Paper not yet in RePEc: Add citation now

  152. Lin, Y. ; MacMinn, R.D. ; Tian, R. De-risking defined benefit plans. 2015 Insurance Math. Econom.. 63 52-65

  153. Lin, Y. ; Shi, T. ; Arik, A. Pricing buy-ins and buy-outs. 2017 J. Risk Insur.. 84 367-392
    Paper not yet in RePEc: Add citation now

  154. Lin, Y. ; Tan, K.S. ; Tian, R. ; Yu, J. Downside risk management of a defined benefit plan considering longevity basis risk. 2014 N. Am. Actuar. J.. 18 68-86

  155. Longevity Basis Risk Working Group . 2014 Institute & Faculty of Actuaries (IFoA) and the Life and Longevity Markets Association (LLMA): London
    Paper not yet in RePEc: Add citation now
  156. MacMinn, R.D. ; Brockett, P.L. On the failure (success) of the markets for longevity risk transfer. 2017 J. Risk Insur.. 84 299-318
    Paper not yet in RePEc: Add citation now
  157. MacMinn, R.D. ; Zhu, N. Hedging longevity risk in life settlements using biomedical research-backed obligations. 2017 J. Risk Insur.. 84 439-458
    Paper not yet in RePEc: Add citation now

  158. Maurer, R. ; Mitchell, O.S. ; Rogalla, R. ; Kartashov, V. Lifecycle portfolio choice with systematic longevity risk and variable investment-linked deferred annuities. 2013 J. Risk Insur.. 80 649-676

  159. Mayhew, L. ; Smith, D. Gender convergence in human survival and the postponement of death. 2014 N. Am. Actuar. J.. 18 194-216

  160. Mayhew, L. ; Smith, D. Human survival at older ages and the implications for longevity bond pricing. 2011 N. Am. Actuar. J.. 15 248-265

  161. Mazonas, P.M. ; Stallard, P.J.E. ; Graham, L. Longevity risk in fair valuing level-three assets in securitized portfolios. 2011 Geneva Pap. Risk Insur. –Issues Pract.. 36 516-543

  162. Menoncin, F. The role of longevity bonds in optimal portfolios. 2008 Insurance Math. Econom.. 42 343-358

  163. Michaelson, A. ; Mulholland, J. Strategy for increasing the global capacity for longevity risk transfer: Developing transactions that attract capital markets investors. 2014 J. Altern. Investments. 17 18-27
    Paper not yet in RePEc: Add citation now

  164. Milevsky, M.A. ; Promislow, S.D. Mortality derivatives and the option to annuitize. 2001 Insurance Math. Econom.. 29 299-318

  165. Milevsky, M.A. ; Salisbury, T.S. Optimal retirement income tontines. 2015 Insurance Math. Econom.. 64 91-105

  166. Milevsky, M.A. ; Young, V.R. Annuitization and asset allocation. 2007 J. Econom. Dynam. Control. 31 3138-3177

  167. Milidonis, A. ; Efthymiou, M. Mortality leads and lags. 2017 J. Risk Insur.. 84 495-514
    Paper not yet in RePEc: Add citation now

  168. Milidonis, A. ; Lin, Y. ; Cox, S.H. Mortality regimes and pricing. 2011 N. Am. Actuar. J.. 15 266-289

  169. Mitchell, D. ; Brockett, P. ; Mendoza-Arriaga, R. ; Muthuraman, K. Modeling and forecasting mortality rates. 2013 Insurance Math. Econom.. 52 275-285

  170. Murphy, M. Re-examining the dominance of birth cohort effects on mortality. 2010 Popul. Dev. Rev.. 36 365-390

  171. Ngai, A. ; Sherris, M. Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives. 2011 Insurance Math. Econom.. 49 100-114

  172. Nielsen, B. ; Nielsen, J. Identification and forecasting in mortality models. 2014 Sci. World J.. 2104 -
    Paper not yet in RePEc: Add citation now

  173. Njenga, C.N. ; Sherris, M. Longevity risk and the econometric analysis of mortality trends and volatility. 2011 Asia-Pacific J. Risk Insur.. 5 1-54

  174. O’Hare, C. ; Li, Y. Identifying structural breaks in stochastic mortality models, discussion paper Monash University. 2015 ASME J. Risk Uncertain. B. 1 021001-
    Paper not yet in RePEc: Add citation now

  175. Olivieri, A. ; Pitacco, E. Assessing the cost of capital for longevity risk. 2008 Insurance Math. Econom.. 42 1013-1021

  176. Pedroza, C. A Bayesian forecasting model: Predicting US male mortality. 2006 Biostatistics. 7 530-550
    Paper not yet in RePEc: Add citation now

  177. Plat, R. On stochastic mortality modeling. 2009 Insurance Math. Econom.. 45 393-404

  178. Plat, R. Stochastic portfolio specific mortality and the quantification of mortality basis risk. 2009 Insurance Math. Econom.. 45 123-132

  179. Qiao, C. ; Sherris, M. Managing systematic mortality risk with group self-pooling and annuitization schemes. 2013 J. Risk Insur.. 80 949-974

  180. Renshaw, A. ; Haberman, S. Lee–Carter mortality forecasting with age-specific enhancement. 2003 Insurance Math. Econom.. 33 255-272

  181. Renshaw, A. ; Haberman, S. Lee–Carter mortality forecasting: A parallel generalized linear modelling approach for England and wales mortality projections. 2003 J. R. Stat. Soc. Ser. C. Appl. Stat.. 52 119-137

  182. Renshaw, A. ; Haberman, S. On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee–Carter modelling. 2008 Insurance Math. Econom.. 42 797-816

  183. Renshaw, A.E. ; Haberman, S. A cohort-based extension to the Lee–Carter model for mortality reduction factors. 2006 Insurance Math. Econom.. 38 556-570

  184. Richter, A. ; Weber, F. Mortality-indexed annuities: Managing longevity risk via product design. 2011 N. Am. Actuar. J.. 15 212-236

  185. Russo, V. ; Giacometti, R. ; Ortobelli, S. ; Rachev, S. ; Fabozzi, F. Calibrating affine stochastic mortality models using term assurance premiums. 2011 Insurance Math. Econom.. 49 53-60

  186. Russolillo, M. ; Giordano, G. ; Haberman, S. Extending the Lee–Carter model: A three-way decomposition. 2011 Scand. Actuar. J.. 2011 96-117
    Paper not yet in RePEc: Add citation now

  187. Shang, Z. ; Goovaerts, M. ; Dhaene, J. A recursive approach to mortality-linked derivative pricing. 2011 Insurance Math. Econom.. 49 240-248

  188. Shao, A.W. ; Hanewald, K. ; Sherris, M. Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk. 2015 Insurance Math. Econom.. 63 76-90

  189. Shen, Y. ; Siu, T.K. Longevity bond pricing under stochastic interest rate and mortality with regime switching. 2013 Insurance Math. Econom.. 52 114-123

  190. Stevens, R. ; De Waegenaere, A. ; Melenberg, B. Longevity risk in pension annuities with exchange options: The effect of product design. 2010 Insurance Math. Econom.. 46 222-234

  191. Sweeting, P.J. A trend-change extension of the Cairns-Blake-Dowd model. 2011 Ann. Actuar. Sci.. 5 143-162

  192. Tan, C.I. ; Li, J. ; Li, J.S.-H. ; Balasooriya, U. Parametric mortality indexes: From index construction to hedging strategies. 2014 Insurance Math. Econom.. 59 285-299

  193. Tomas, J. ; Planchet, F. Prospective mortality tables: Taking heterogeneity into account. 2015 Insurance Math. Econom.. 63 169-190

  194. Tsai, J. ; Wang, J. ; Tzeng, L. On the optimal product mix in life insurance companies using conditional value at risk. 2010 Insurance Math. Econom.. 46 235-241

  195. Tzeng, L.Y. ; Wang, J.L. ; Tsai, J.T. Hedging longevity risk when interest rates are uncertain. 2011 N. Am. Actuar. J.. 15 201-211

  196. Villegas, A.M. ; Haberman, S. On the modelling and forecasting of socio-economic mortality differentials: An application to deprivation and mortality in England. 2014 N. Am. Actuar. J.. 18 168-193

  197. Wan, C. ; Bertschi, L. Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: A practical approach. 2015 Insurance Math. Econom.. 63 66-75

  198. Wang, C.-W. ; Huang, H.-C. ; Liu, I.-C. A quantitative comparison of the Lee–Carter model under different types of non-Gaussian innovations. 2011 Geneva Pap. Risk Insu. –Issues Pract.. 36 675-696

  199. Wang, C.-W. ; Huang, H.-C. ; Liu, I.-C. Mortality modeling with non-gaussian innovations and applications to the valuation of longevity swaps. 2013 J. Risk Insur.. 80 775-798

  200. Wang, C.-W. ; Yang, S. Pricing survivor derivatives with cohort mortality dependence under the Lee–Carter framework. 2013 J. Risk Insur.. 80 1027-1056

  201. Wang, C.-W. ; Yang, S. ; Huang, H.-C. Modeling multi-country mortality dependence and its application in pricing survivor index swaps –A dynamic copula approach. 2015 Insurance Math. Econom.. 63 30-39

  202. Wang, H. ; Preston, S.H. Forecasting united states mortality using cohort smoking histories. 2009 Proc. Natl. Acad. Sci. USA. 106 393-398
    Paper not yet in RePEc: Add citation now

  203. Wang, J.L. ; Hsieh, M. ; Chiu, Y. Using reverse mortgages to hedge longevity and financial risks for life insurers: A generalized immunization approach. 2011 Geneva Pap. Risk Insur. –Issues Pract.. 36 697-717

  204. Wang, J.L. ; Huang, H.-C. ; Yang, S.S. ; Tsai, J.T. An optimal product mix for hedging longevity risk in life insurance companies: The immunization theory approach. 2010 J. Risk Insur.. 77 473-497

  205. Wang, L. ; Valdez, E. ; Piggot, J. Securitization of longevity risk in reverse mortgages. 2008 N. Am. Actuar. J.. 12 345-371
    Paper not yet in RePEc: Add citation now

  206. Wills, S. ; Sherris, M. Securitization, structuring and pricing of longevity risk. 2010 Insurance Math. Econom.. 46 173-185

  207. Yang, B. ; Li, J. ; Balasooriya, U. Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk. 2015 Insurance Math. Econom.. 62 16-27

  208. Yang, S.S. Securitization and tranching longevity and house price risk for reverse mortgage products. 2011 Geneva Pap. Risk Insur. –Issues Pract.. 36 648-674

  209. Yang, S.S. ; Huang, H.-C. Pricing and securitization of multi-country longevity risk with mortality dependence. 2013 Insurance Math. Econom.. 52 157-169

  210. Yang, S.S. ; Yue, J. ; Huang, H.-C. Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models. 2010 Insurance Math. Econom.. 46 254-270

  211. Yang, S.S. ; Yueh, M.-L. ; Tang, C.-H. Valuation of the interest rate guarantee embedded in defined contribution pension plans. 2008 Insurance Math. Econom.. 42 920-934

  212. Yue, J.C. ; Huang, H.-C. A study of incidence experience for taiwan life insurance. 2011 Geneva Pap. Risk Insur. –Issues Pract.. 36 718-733

  213. Zelenko, I. Longevity risk and the stability of retirement systems: The Chilean longevity bond case. 2014 J. Altern. Investments. 17 35-54
    Paper not yet in RePEc: Add citation now
  214. Zhou, K. ; Li, J.S.-H. Dynamic longevity hedging in the presence of population basis risk: A feasibility analysis from technical and economic perspectives. 2017 J. Risk Insur.. 84 417-438
    Paper not yet in RePEc: Add citation now

  215. Zhou, R. ; Li, J.S.-H. ; Tan, K.S. Economic pricing of mortality-linked securities in the presence of population basis risk. 2011 Geneva Pap. Risk Insur. –Issues Pract.. 36 544-566

  216. Zhou, R. ; Li, J.S.-H. ; Tan, K.S. Pricing standardized mortality securitizations: A two-population model with transitory jump effects. 2013 J. Risk Insur.. 80 733-774

  217. Zhou, R. ; Wang, Y. ; Kaufhold, K. ; Li, J.S.-H. ; Tan, K.S. Modeling period effects in multi-population mortality models: Applications to solvency II. 2014 N. Am. Actuar. J.. 18 150-167

  218. Zhu, N. ; Bauer, D. A cautionary note on natural hedging of longevity risk. 2014 N. Am. Actuar. J.. 18 104-115

  219. Zhu, N. ; Bauer, D. Applications of forward mortality factor models in life insurance practice. 2011 Geneva Pap. Risk Insur. –Issues Pract.. 36 567-594

  220. Zhu, N. ; Bauer, D. Coherent pricing of life settlements under asymmetric information. 2013 J. Risk Insur.. 80 827-851

  221. Zhu, W. ; Tan, K.S. ; Wang, C.-W. Modeling multicountry longevity risk with mortality dependence: A Lévy subordinated hierarchical archimedean copulas approach. 2017 J. Risk Insur.. 84 477-494
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Stochastic modelling of the home equity access scheme. (2023). Miller, Michael ; Bruhn, Aaron ; Lamarra, Tyson.
    In: Australian Journal of Management.
    RePEc:sae:ausman:v:48:y:2023:i:3:p:652-677.

    Full description at Econpapers || Download paper

  2. Reverse Mortgages and Financial Literacy. (2023). Michaud, Pierre-Carl ; Choiniere-Crevecoeur, Ismael.
    In: Cahiers de recherche / Working Papers.
    RePEc:rsi:irersi:12.

    Full description at Econpapers || Download paper

  3. Proposal for calculating regulatory capital requirements for reverse mortgages. (2023). Serna, Gregorio ; Navarro, Eliseo ; de la Fuente, Ivan.
    In: Socio-Economic Planning Sciences.
    RePEc:eee:soceps:v:88:y:2023:i:c:s0038012123001714.

    Full description at Econpapers || Download paper

  4. Hybrid MADM-based study of key risk factors in house-for-pension reverse mortgage lending in Taiwans banking industry. (2023). Chang, Wen-Chang ; Wang, Ying-Wei ; Tsai, Pei-Hsuan.
    In: Socio-Economic Planning Sciences.
    RePEc:eee:soceps:v:86:y:2023:i:c:s0038012122002610.

    Full description at Econpapers || Download paper

  5. Joint life care annuities to help retired couples to finance the cost of long-term care. (2023). VIDAL-MELIA, CARLOS ; Ventura-Marco, Manuel ; Perez-Salamero, Juan Manuel.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:113:y:2023:i:c:p:122-139.

    Full description at Econpapers || Download paper

  6. Reverse Mortgages and Financial Literacy. (2023). Choinire-Crvecoeur, Ismael ; Michaud, Pierre-Carl.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2023s-06.

    Full description at Econpapers || Download paper

  7. Risk and Equity Release Mortgages in the UK. (2022). French, Declan ; McKillop, Donal ; Sharma, Tripti.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:64:y:2022:i:2:d:10.1007_s11146-020-09793-2.

    Full description at Econpapers || Download paper

  8. On non-negative equity guarantee calculations with macroeconomic variables related to house prices. (2022). Tunaru, Radu ; Quaye, Enoch ; Badescu, Alexandru.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:103:y:2022:i:c:p:119-138.

    Full description at Econpapers || Download paper

  9. The UK equity release market: Views from the regulatory authorities, product providers and advisors. (2022). French, Declan ; McKillop, Donal ; Sharma, Tripti.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003100.

    Full description at Econpapers || Download paper

  10. .

    Full description at Econpapers || Download paper

  11. Reverse mortgages through artificial intelligence: new opportunities for the actuaries. (2021). Sibillo, Marilena ; Tizzano, Roberto ; Piscopo, Gabriella ; Lorenzo, Emilia.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:44:y:2021:i:1:d:10.1007_s10203-020-00274-y.

    Full description at Econpapers || Download paper

  12. Pension schemes versus real estate. (2021). Sibillo, Marilena ; Haberman, S ; Lorenzo, E ; Damato, V ; Tizzano, R.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03241-y.

    Full description at Econpapers || Download paper

  13. Low Demand for Reverse Mortgages in Canada: Price, Knowledge or Preferences?. (2021). Michaud, Pierre-Carl ; Crevecoeur, Ismael Choiniere.
    In: Cahiers de recherche / Working Papers.
    RePEc:rsi:creeic:2107.

    Full description at Econpapers || Download paper

  14. Estimating regulatory capital requirements for reverse mortgages. An international comparison. (2021). Serna, Gregorio ; Navarro, Eliseo ; de la Fuente, Ivan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:74:y:2021:i:c:p:239-252.

    Full description at Econpapers || Download paper

  15. Longevity risk and capital markets: The 2019-20 update. (2021). , Andrew ; Blake, David.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439.

    Full description at Econpapers || Download paper

  16. Prepayment risk in reverse mortgages: An intensity-governed surrender model. (2021). Lee, Yung-Tsung ; Shi, Tianxiang.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:98:y:2021:i:c:p:68-82.

    Full description at Econpapers || Download paper

  17. Low demand for reverse mortgages in Canada : Price, Knowledge or preferences ?. (2021). Michaud, Pierre-Carl ; Choinire-Crvecoeur, Ismael.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2021s-38.

    Full description at Econpapers || Download paper

  18. Is There a Need for Reverse Mortgages in Germany? Empirical Evidence and Policy Implications. (2021). Kirschenmann, Karolin ; Schmidt, Carolin ; Buhlmann, Florian ; Bartsch, Florian.
    In: EconPol Policy Reports.
    RePEc:ces:econpr:_31.

    Full description at Econpapers || Download paper

  19. A Hybrid Equity Release Plan for Retirement Financing. (2021). Junxing, Chay ; Yiu-Kuen, Tse ; Koon-Shing, Kwong.
    In: Asia-Pacific Journal of Risk and Insurance.
    RePEc:bpj:apjrin:v:15:y:2021:i:1:p:24:n:3.

    Full description at Econpapers || Download paper

  20. On Sustainable Aged Care Financing in Australia. (2021). Sherris, Michael.
    In: Australian Economic Review.
    RePEc:bla:ausecr:v:54:y:2021:i:2:p:275-284.

    Full description at Econpapers || Download paper

  21. .

    Full description at Econpapers || Download paper

  22. Determinants of Capital Adequacy Ratio for Pension Funds: A Case Study in Indonesia. (2020). Endri, Endri ; Santoni, Alvia ; Sunaryo, Sunaryo ; Harahap, Muhammad Nusjirwan.
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:11:y:2020:i:4:p:203-213.

    Full description at Econpapers || Download paper

  23. Housing Price Dynamics, Mortgage Credit and Reverse Mortgage Demand: Theory and Empirical Evidence. (2020). Yang, Jimmy J ; Chen, Kuoshing.
    In: Real Estate Economics.
    RePEc:bla:reesec:v:48:y:2020:i:2:p:599-632.

    Full description at Econpapers || Download paper

  24. Research on long-term care insurance: status quo and directions for future research. (2019). Ghavibazoo, Omid ; Eling, Martin.
    In: The Geneva Papers on Risk and Insurance - Issues and Practice.
    RePEc:pal:gpprii:v:44:y:2019:i:2:d:10.1057_s41288-018-00114-6.

    Full description at Econpapers || Download paper

  25. A Numerical Analysis to Study Whether the Early Termination of Reverse Mortgages is Rational. (2019). Choi, Hyung-Suk.
    In: Sustainability.
    RePEc:gam:jsusta:v:11:y:2019:i:23:p:6820-:d:292861.

    Full description at Econpapers || Download paper

  26. Enhancing risk management for an aging world. (2018). Mitchell, Olivia S.
    In: The Geneva Risk and Insurance Review.
    RePEc:pal:genrir:v:43:y:2018:i:2:d:10.1057_s10713-018-0027-x.

    Full description at Econpapers || Download paper

  27. Enhancing risk management for an aging world. (2018). Mitchell, Olivia.
    In: The Geneva Papers on Risk and Insurance Theory.
    RePEc:kap:geneva:v:43:y:2018:i:2:d:10.1057_s10713-018-0027-x.

    Full description at Econpapers || Download paper

  28. What determines UK housing equity withdrawal in later life?. (2018). French, Declan ; Sharma, Tripti ; McKillop, Donal.
    In: Regional Science and Urban Economics.
    RePEc:eee:regeco:v:73:y:2018:i:c:p:143-154.

    Full description at Econpapers || Download paper

  29. Profitability and risk profile of reverse mortgages: A cross-system and cross-plan comparison. (2018). Lee, Yung-Tsung ; Liu, I-Chien ; I-Chien Liu, ; Kung, Ko-Lun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:78:y:2018:i:c:p:255-266.

    Full description at Econpapers || Download paper

  30. Longevity risk and capital markets: The 2015–16 update. (2018). Blake, David ; MacMinn, Richard ; Loisel, Stephane ; el Karoui, Nicole.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:78:y:2018:i:c:p:157-173.

    Full description at Econpapers || Download paper

  31. Empirical essays on behavioral economics and lifecycle decisions. (2016). Dillingh, Rik.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:0e2143e3-bd86-4302-90eb-ed58e2ffc901.

    Full description at Econpapers || Download paper

  32. A Study on the Main Determination of Mortgage Risk: Evidence from Reverse Mortgage Markets. (2015). Lee, Chien-Chiang ; Shyu, David So-De ; Chen, Kuo-Shing .
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:6:y:2015:i:2:p:84-94.

    Full description at Econpapers || Download paper

  33. Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk. (2015). Hanewald, Katja ; Shao, Adam W ; Sherris, Michael.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:63:y:2015:i:c:p:76-90.

    Full description at Econpapers || Download paper

  34. Risk Analysis for Reverse Mortgages with Different Payout Designs. (2015). Hanewald, Katja ; Michael, Sherris ; Katja, Hanewald ; Daniel, Cho .
    In: Asia-Pacific Journal of Risk and Insurance.
    RePEc:bpj:apjrin:v:9:y:2015:i:1:p:77-105:n:4.

    Full description at Econpapers || Download paper

  35. A review of the Australian mortgage market. (2013). Yanotti, Maria Belen .
    In: Working Papers.
    RePEc:tas:wpaper:17829.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-21 09:26:05 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.