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North American Actuarial Journal Volume 18, 2014 - Issue 1: Longevity Risk and Capital Markets
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Feature Articles

Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform

Shuo-Li Chuang Department of Information, Risk, and Operations Managements, Red McCombs School of Business, The University of Texas at Austin, Austin, Texas
&
Patrick L. Brockett Department of Information, Risk, and Operations Managements, Red McCombs School of Business, The University of Texas at Austin, Austin, Texas
Pages 22-37 | Published online: 25 Feb 2014

Citations (17)

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Read on this site (3)

Gavakshi Gungah & Jason Narsoo. (2022) A novel EVT-modified Lee-Carter model for mortality forecasting : An application to extreme mortality events. Journal of Statistics and Management Systems 25:1, pages 211-243.
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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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Yige Wang, Nan Zhang, Zhuo Jin & Tin Long Ho. (2019) Pricing longevity-linked derivatives using a stochastic mortality model. Communications in Statistics - Theory and Methods 48:24, pages 5923-5942.
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Articles from other publishers (14)

Ko-Lun Kung, I-Chien Liu & Chou-Wen Wang. (2021) Modeling and pricing longevity derivatives using Skellam distribution. Insurance: Mathematics and Economics 99, pages 341-354.
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David Blake & Andrew J.G. Cairns. (2021) Longevity risk and capital markets: The 2019-20 update. Insurance: Mathematics and Economics 99, pages 395-439.
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Ling Wang, Mei Choi Chiu & Hoi Ying Wong. (2021) Volterra mortality model: Actuarial valuation and risk management with long-range dependence. Insurance: Mathematics and Economics 96, pages 1-14.
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David Blake & Andrew J. G. Cairns. (2020) Longevity risk and capital markets: the 2018–19 update. Annals of Actuarial Science 14:2, pages 219-261.
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David Blake, Nicole El Karoui, Stéphane Loisel & Richard MacMinn. (2018) Longevity risk and capital markets: The 2015–16 update. Insurance: Mathematics and Economics 78, pages 157-173.
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Yanxin Liu & Johnny Siu-Hang Li. (2018) A strategy for hedging risks associated with period and cohort effects using q-forwards. Insurance: Mathematics and Economics 78, pages 267-285.
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Andreas Milidonis & Maria Efthymiou. (2017) Mortality Leads and Lags. Journal of Risk and Insurance 84:S1, pages 495-514.
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Kenneth Q. Zhou & Johnny Siu-Hang Li. (2017) Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis From Technical and Economic Perspectives. Journal of Risk and Insurance 84:S1, pages 417-437.
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Yanxin Liu & Johnny Siu-Hang Li. (2015) The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds. Insurance: Mathematics and Economics 64, pages 135-150.
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Ken Seng Tan, David Blake & Richard MacMinn. (2015) Longevity risk and capital markets: The 2013–14 update. Insurance: Mathematics and Economics 63, pages 1-11.
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David P. Blake, Nicole El Karoui, Richard D. MacMinn & Sttphane Loisel. (2017) Longevity Risk and Capital Markets: The 2015-16 Update. SSRN Electronic Journal.
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Ken Seng Tan. (2015) Longevity Risk and Capital Markets: The 2013-14 Update. SSRN Electronic Journal.
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Ken Seng Tan, David P. Blake & Richard D. MacMinn. (2015) Longevity Risk and Capital Markets: The 2013-14 Update.. SSRN Electronic Journal.
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Andreas Milidonis & Maria Efthymiou. (2015) Mortality Lead Lags. SSRN Electronic Journal.
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