This paper addresses the risk-minimization problem, with and without mortality securitization, a la Follmer-Sondermann for a large class of equity-linked mortality contracts when no model for the death time is specified. This framework includes situations in which the correlation between the market model and the time of death is arbitrary general, and hence leads to the case of a market model where there are two levels of information-the public information, which is generated by the financial assets, and a larger flow of information that contains additional knowledge about the death time of an insured. By enlarging the filtration, the death uncertainty and its entailed risk are fully considered without any mathematical restriction. Our key ...
Schmeck MD, Schmidli H. Mortality Options: the Point of View of an Insurer. Center for Mathematical ...
This chapter focuses on the securitization of longevity risk in pension schemes through mortality-li...
In this paper we investigate the local risk-minimization approach for a combined financial-insurance...
This paper addresses the risk-minimization problem, with and without mortality securitization, a la ...
In the presented work we focus on securitization of two major technical risks in life insurance - lo...
This paper proposes a stochastic mortality model featuring both permanent longevity jump and tempora...
Hedging the basis risk is a challenging issue for pension funds and insurers, who can be interested ...
This thesis develops new models and methodologies for the modelling and management of longevity risk...
In the current work we analyze two mortality-linked securities and try to price them coherently with...
Historically, actuaries have been calculating premiums and mathematical reserves using a determinist...
Abstract. We consider the problem of optimally designing longevity risk transfers under asymmetric i...
The improvements of longevity are intensifying the need for capital markets to be used to manage and...
The purpose of this study is to analyze the securitization of longevity risk with an emphasis on lon...
For life insurance and annuity products whose payoffs depend on the future mortality rates, there is...
Securitization with payments linked to explicit mortality events provides a new investment opportuni...
Schmeck MD, Schmidli H. Mortality Options: the Point of View of an Insurer. Center for Mathematical ...
This chapter focuses on the securitization of longevity risk in pension schemes through mortality-li...
In this paper we investigate the local risk-minimization approach for a combined financial-insurance...
This paper addresses the risk-minimization problem, with and without mortality securitization, a la ...
In the presented work we focus on securitization of two major technical risks in life insurance - lo...
This paper proposes a stochastic mortality model featuring both permanent longevity jump and tempora...
Hedging the basis risk is a challenging issue for pension funds and insurers, who can be interested ...
This thesis develops new models and methodologies for the modelling and management of longevity risk...
In the current work we analyze two mortality-linked securities and try to price them coherently with...
Historically, actuaries have been calculating premiums and mathematical reserves using a determinist...
Abstract. We consider the problem of optimally designing longevity risk transfers under asymmetric i...
The improvements of longevity are intensifying the need for capital markets to be used to manage and...
The purpose of this study is to analyze the securitization of longevity risk with an emphasis on lon...
For life insurance and annuity products whose payoffs depend on the future mortality rates, there is...
Securitization with payments linked to explicit mortality events provides a new investment opportuni...
Schmeck MD, Schmidli H. Mortality Options: the Point of View of an Insurer. Center for Mathematical ...
This chapter focuses on the securitization of longevity risk in pension schemes through mortality-li...
In this paper we investigate the local risk-minimization approach for a combined financial-insurance...