Add to ORKGIn the presented work we focus on securitization of two major technical risks in life insurance - longevity risk and catastrophic mortality risk. We show some particular examples of issued bonds and some theoretical constructions of mortality linked derivatives. We mention several models applicable for projection of mortality and requirements on these models. Problems connected with projection will be discussed. We describe methods used for pricing these securities, ie. pricing by transformation of probability distribution
The insurance industry works on ‘The law of large numbers’ for calculating the premiums for each pol...
In January 2004, the first securitization of senior life insurance policies was issued in the market...
This paper addresses the problem of longevity risk ö the risk of uncertain aggregate mortality ö and...
This paper addresses the risk-minimization problem, with and without mortality securitization, a la ...
Pricing and risk management for longevity risk have increasingly become major challenges for life in...
The purpose of this study is to analyze the securitization of longevity risk with an emphasis on lon...
Longevity risk is a major issue for insurers and pension funds, especially in the selling of annuity...
This paper proposes a stochastic mortality model featuring both permanent longevity jump and tempora...
Securitization with payments linked to explicit mortality events provides a new investment opportuni...
This chapter focuses on the securitization of longevity risk in pension schemes through mortality-li...
Securitization with payments linked to explicit mortality events provides a new investment opportuni...
It is now an accepted fact that stochastic mortality – the risk that future trends in mortality are ...
Hedging the basis risk is a challenging issue for pension funds and insurers, who can be interested ...
In the current work we analyze two mortality-linked securities and try to price them coherently with...
The paper focuses on the securitization of longevity risk via longevity-linked securities. Among the...
The insurance industry works on ‘The law of large numbers’ for calculating the premiums for each pol...
In January 2004, the first securitization of senior life insurance policies was issued in the market...
This paper addresses the problem of longevity risk ö the risk of uncertain aggregate mortality ö and...
This paper addresses the risk-minimization problem, with and without mortality securitization, a la ...
Pricing and risk management for longevity risk have increasingly become major challenges for life in...
The purpose of this study is to analyze the securitization of longevity risk with an emphasis on lon...
Longevity risk is a major issue for insurers and pension funds, especially in the selling of annuity...
This paper proposes a stochastic mortality model featuring both permanent longevity jump and tempora...
Securitization with payments linked to explicit mortality events provides a new investment opportuni...
This chapter focuses on the securitization of longevity risk in pension schemes through mortality-li...
Securitization with payments linked to explicit mortality events provides a new investment opportuni...
It is now an accepted fact that stochastic mortality – the risk that future trends in mortality are ...
Hedging the basis risk is a challenging issue for pension funds and insurers, who can be interested ...
In the current work we analyze two mortality-linked securities and try to price them coherently with...
The paper focuses on the securitization of longevity risk via longevity-linked securities. Among the...
The insurance industry works on ‘The law of large numbers’ for calculating the premiums for each pol...
In January 2004, the first securitization of senior life insurance policies was issued in the market...
This paper addresses the problem of longevity risk ö the risk of uncertain aggregate mortality ö and...