The double-gap life expectancy forecasting model
Publication date: Available online 2 October 2017 Source:Insurance: Mathematics and Economics Author(s): Marius Pascariu, Vladimir Canudas-Romo, James W. Vaupel Life expectancy is highly correlated...
View ArticlePension risk management with funding and buyout options
Publication date: Available online 3 October 2017 Source:Insurance: Mathematics and Economics Author(s): Samuel H. Cox, Yijia Lin, Tianxiang Shi There has been a surge of interest in recent years from...
View ArticleA strategy for hedging risks associated with period and cohort effects using...
Publication date: Available online 3 October 2017 Source:Insurance: Mathematics and Economics Author(s): Yanxin Liu, Johnny Siu-Hang Li The stochastic nature of future mortality arises from both...
View ArticleUsing Taiwan National Health Insurance Database to model cancer incidence and...
Publication date: Available online 3 October 2017 Source:Insurance: Mathematics and Economics Author(s): Jack C. Yue, Hsin-Chung Wang, Yin-Yee Leong, Wei-Ping Su The increasing cancer incidence and...
View ArticleProfitability and risk profile of reverse mortgages: A cross-system and...
Publication date: Available online 4 October 2017 Source:Insurance: Mathematics and Economics Author(s): Yung-Tsung Lee, Ko-Lun Kung, I-Chien Liu This study conducts a cross-system and cross-plan...
View ArticleModel spaces for risk measures
Publication date: Available online 4 October 2017 Source:Insurance: Mathematics and Economics Author(s): Felix-Benedikt Liebrich, Gregor Svindland We show how risk measures originally defined in a...
View ArticleThe choice of trigger in an insurance linked security: The mortality risk case
Publication date: Available online 4 October 2017 Source:Insurance: Mathematics and Economics Author(s): Richard MacMinn, Andreas Richter In 2003, Swiss Re introduced a mortality-based security...
View ArticleUnisex pricing of german participating life annuities—Boon or bane for...
Publication date: Available online 4 October 2017 Source:Insurance: Mathematics and Economics Author(s): Sandy Bruszas, Barbara Kaschützke, Raimond Maurer, Ivonne Siegelin This paper explores how the...
View ArticleCause-of-death mortality: What can be learned from population dynamics?
Publication date: Available online 5 October 2017 Source:Insurance: Mathematics and Economics Author(s): Séverine Arnold, Alexandre Boumezoued, Nicole El Karoui, Héloïse Labit Hardy This paper...
View ArticleSemi-parametric extensions of the Cairns-Blake-Dowd model: A one-dimensional...
Publication date: Available online 10 October 2017 Source:Insurance: Mathematics and Economics Author(s): Han Li, Colin O’Hare Over the last few decades, there has been an enormous growth in mortality...
View ArticleAsset liability management for open pension schemes using multistage...
Publication date: Available online 13 October 2017 Source:Insurance: Mathematics and Economics Author(s): Thiago B. Duarte, Davi M. Valladão, Álvaro Veiga Open private pension schemes are subject to...
View ArticleMortality models and longevity risk for small populations
Publication date: Available online 13 October 2017 Source:Insurance: Mathematics and Economics Author(s): Hsin-Chung Wang, Ching-Syang Jack Yue, Chen-Tai Chong Prolonging life expectancy and improving...
View ArticleLongevity risk and capital markets: The 2015-16 update
Publication date: Available online 14 October 2017 Source:Insurance: Mathematics and Economics Author(s): David Blake, Nicole El Karoui, Stéphane Loisel, Richard MacMinn
View ArticleReplicating intergenerational longevity risk sharing in collective defined...
Publication date: Available online 14 October 2017 Source:Insurance: Mathematics and Economics Author(s): Enareta Kurtbegu Intergenerational risk sharing is often seen as a strong point of the Dutch...
View ArticleModeling trend processes in parametric mortality models
Publication date: Available online 14 October 2017 Source:Insurance: Mathematics and Economics Author(s): Matthias Börger, Johannes Schupp Parametric mortality models like those of Lee and Carter...
View ArticleDo actuaries believe in longevity deceleration?
Publication date: Available online 18 October 2017 Source:Insurance: Mathematics and Economics Author(s): Edouard Debonneuil, Stéphane Loisel, Frédéric Planchet As more and more people believe that...
View ArticleBayesian mortality forecasting with overdispersion
Publication date: Available online 19 October 2017 Source:Insurance: Mathematics and Economics Author(s): Jackie S.T. Wong, Jonathan J. Forster, Peter W.F. Smith The ability to produce accurate...
View ArticleInsurance choice under third degree stochastic dominance
Publication date: Available online 19 October 2017 Source:Insurance: Mathematics and Economics Author(s): Yichun Chi In this paper, we investigate the insurance choice of a risk-averse and prudent...
View ArticleParameter uncertainty and reserve risk under Solvency II
Publication date: Available online 23 October 2017 Source:Insurance: Mathematics and Economics Author(s): Andreas Fröhlich, Annegret Weng In this article we consider the parameter risk in the context...
View ArticleOptimal reinsurance under risk and uncertainty on Orlicz hearts
Publication date: Available online 24 October 2017 Source:Insurance: Mathematics and Economics Author(s): Dezhou Kong, Lishan Liu, Yonghong Wu In the paper, we study two classes of optimal reinsurance...
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