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North American Actuarial Journal Volume 11, 2007 - Issue 3
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Original Articles

Natural Hedging of Life and Annuity Mortality Risks

Samuel H. Cox FSA, MAAA, PhD Actuarial Science, University of Manitoba
&
Yijia Lin PhD Department of Finance, University of Nebraska–Lincoln
Pages 1-15 | Published online: 02 Jan 2013

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Hua Chen, Jin Gao & Wei Zhu. (2023) A Unified Framework for Insurance Demand and Mortality Immunization. North American Actuarial Journal 0:0, pages 1-22.
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Jamaal Ahmad. (2022) Multivariate higher order moments in multi-state life insurance. Scandinavian Actuarial Journal 2022:5, pages 399-420.
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Samuel H. Cox, Yijia Lin & Sheen Liu. (2021) Optimal Longevity Risk Transfer and Investment Strategies. North American Actuarial Journal 25:sup1, pages S40-S65.
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Ming-Hua Hsieh, Chenghsien Jason Tsai & Jennifer L. Wang. (2021) Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools. North American Actuarial Journal 25:sup1, pages S119-S131.
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Qiheng Guo & Daniel Bauer. (2021) Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices. North American Actuarial Journal 25:sup1, pages S156-S169.
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Andrew Hunt & David Blake. (2021) Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies. North American Actuarial Journal 25:sup1, pages S508-S533.
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Andrew Hunt & David Blake. (2021) Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing. North American Actuarial Journal 25:sup1, pages S482-S507.
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David Blake, Richard MacMinn, Jason Chenghsien Tsai & Jennifer Wang. (2021) Longevity Risk and Capital Markets: The 2017–2018 Update. North American Actuarial Journal 25:sup1, pages S280-S308.
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Dale Kintzel & John A. Turner. (2020) Provision of Longevity Insurance Annuities. Financial Analysts Journal 76:4, pages 119-133.
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Min Ji & Rui Zhou. (2019) A General Semi-Markov Model for Coupled Lifetimes. North American Actuarial Journal 23:1, pages 98-119.
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Colin M. Ramsay & Victor I. Oguledo. (2018) The Annuity Puzzle and an Outline of Its Solution. North American Actuarial Journal 22:4, pages 623-645.
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Cary Chi-Liang Tsai & Xinying Liang. (2018) Application of Relational Models in Mortality Immunization. North American Actuarial Journal 22:4, pages 509-532.
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Alexander Maegebier & Nadine Gatzert. (2016) The Impact of Disability Insurance on a Portfolio of Life Insurances. North American Actuarial Journal 20:2, pages 142-159.
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Cary Chi-Liang Tsai & Shuai Yang. (2015) A Linear Regression Approach to Modeling Mortality Rates of Different Forms. North American Actuarial Journal 19:1, pages 1-23.
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Tzuling Lin & Cary Chi-Liang Tsai. (2014) Applications of Mortality Durations and Convexities in Natural Hedges. North American Actuarial Journal 18:3, pages 417-442.
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David Blake, Richard MacMinn, Johnny Siu-Hang Li & Mary Hardy. (2014) Longevity Risk and Capital Markets: The 2012–2013 Update. North American Actuarial Journal 18:1, pages 1-13.
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Nan Zhu & Daniel Bauer. (2014) A Cautionary Note on Natural Hedging of Longevity Risk. North American Actuarial Journal 18:1, pages 104-115.
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Yijia Lin, Ken Seng Tan, Ruilin Tian & Jifeng Yu. (2014) Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk. North American Actuarial Journal 18:1, pages 68-86.
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Pauline Barrieu, Harry Bensusan, Nicole El Karoui, Caroline Hillairet, Stéphane Loisel, Claudia Ravanelli & Yahia Salhi. (2012) Understanding, modelling and managing longevity risk: key issues and main challenges. Scandinavian Actuarial Journal 2012:3, pages 203-231.
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Andreas Richter & Frederik Weber. (2011) Mortality-Indexed Annuities Managing Longevity Risk Via Product Design. North American Actuarial Journal 15:2, pages 212-236.
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JeffreyT. Tsai, LarryY. Tzeng & JenniferL. Wang. (2011) Hedging Longevity Risk When Interest Rates are Uncertain. North American Actuarial Journal 15:2, pages 201-211.
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GuyD. Coughlan, Marwa Khalaf-Allah, Yijing Ye, Sumit Kumar, AndrewJ. G. Cairns, David Blake & Kevin Dowd. (2011) Longevity Hedging 101. North American Actuarial Journal 15:2, pages 150-176.
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David Blake, Pat Brockett, Samuel Cox & Richard MacMinn. (2011) Longevity Risk and Capital Markets. North American Actuarial Journal 15:2, pages 141-149.
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Johnny Siu-Hang Li, Mary Hardy & Ken Seng Tan. (2010) Developing Mortality Improvement Formulas. North American Actuarial Journal 14:4, pages 381-399.
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Michael Ludkovski & Erhan Bayraktar. (2009) Relative Hedging of Systematic Mortality Risk. North American Actuarial Journal 13:1, pages 106-140.
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AndrewJ. G. Cairns, David Blake & Kevin Dowd. (2008) Modelling and management of mortality risk: a review. Scandinavian Actuarial Journal 2008:2-3, pages 79-113.
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