Natural Hedging of Life and Annuity Mortality Risks

References

• Arrow , Kenneth J. 1975 . Vertical Integration and Communication . Bell Journal of Economics , 6 ( 1 ) : 173 – 183 .
   Google Scholar
• Berger , Larry A. , Cummins , J. David and Tennyson , Sharon . 1992 . Reinsurance and the Liability Crisis . Journal of Risk and Uncertainty , 5 ( 3 ) : 253 – 72 .
   Web of Science ®Google Scholar
• Best , A. M. 1996 . Term Insurance Survey Annual Renewable and 10-Year Level . Best’s Review (L/H) , 97 ( 5 ) : 61 – 67 .
   Google Scholar
• Buettner , Thomas . 2002 . Living to 100 and Beyond: Survival at Advanced Ages Symposium , Schaumburg, IL : Society of Actuaries . Approaches and Experiences in Projecting Mortality Patterns for the Oldest Old
   Google Scholar
• Cairns , Andrew J. G. , Blake , David and Dowd , Kevin . 2004 . Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk , Heriot-Watt University : Edinburgh, U.K. . Technical report
   Google Scholar
• Carlton , Dennis W. 1979 . Vertical Integration in Competitive Markets under Uncertainty . Journal of Industrial Economics , 27 ( 3 ) : 189 – 209 .
   Web of Science ®Google Scholar
• Chatterjee , Sayan and Lubatkin , Michael . 1990 . Corporate Mergers, Stockholder Diversification and Changes in Systematic Risk . Strategic Management Journal , 11 ( 4 ) : 255 – 68 .
   Web of Science ®Google Scholar
• Chatterjee , Sayan and Lubatkin , Michael . 1992 . Vertical Strategies and Market Structure: A Systematic Risk Analysis . Organization Science , 3 ( 1 ) : 138 – 56 .
   Web of Science ®Google Scholar
• Cummins , J. David . 1988 . Risk-Based Premiums or Insurance Guaranty Funds . Journal of Finance , 43 ( 4 ) : 823 – 39 .
   Web of Science ®Google Scholar
• Dowd , Kevin , Blake , David , Cairns , Andrew J. G. and Dawson , Paul . 2004 . Survivor Swaps , University of Nottingham : Nottingham, U.K. . Technical report, working paper no. 7, Centre for Risk and Insurance Studies
   Google Scholar
• Frees , Edward W. , Carriére , Jacques and Valdez , Emiliano . 1996 . Annuity Valuation with Dependent Mortality . Journal of Risk and Insurance , 63 ( 2 ) : 229 – 61 .
   Web of Science ®Google Scholar
• Froot , Kenneth A. and O’Connel , Paul G. J. 1997 . On the Pricing of Intermediated Risks: Theory and Application to Catastrophe Reinsurance , Cambridge, MA : Harvard Business School . Working paper
   Google Scholar
• Goss , Stephen C. , Wade , Alice and Bell , Felicitie . 1998 . Historical and Projected Mortality for Mexico, Canada, and the United States . North American Actuarial Journal , 2 ( 4 ) : 108 – 26 .
   Google Scholar
• Green , William H. 2000 . Econometric Analysis , 4th , Prentice-Hall .
   Google Scholar
• Hayflick , Leonard . 2002 . Living to 100 and Beyond: Survival at Advanced Ages Symposium , Schaumburg, IL : Society of Actuaries . Longevity Determination and Aging
   Google Scholar
• Helfat , Constance E. and Teece , David J. 1987 . Vertical Integration and Risk Reduction . Journal of Law, Economics, and Organization , 3 ( 1 ) : 47 – 68 .
   Google Scholar
• Kiczek , John A. 1995 . Single Premium Immediate Annuity Payouts Study . Best’s Review (L/H) , 96 ( 3 ) : 51 – 54 .
   Google Scholar
• Kiczek , John A. 1996 . Single Premium Immediate Annuity Payouts . Best’s Review (L/H) , 97 ( 4 ) : 57 – 60 .
   Google Scholar
• Kiczek , John A. 1997 . Comparing the Payout . Best’s Review (L/H) , 97 ( 4 ) : 24 – 29 .
   Google Scholar
• Lin , Yijia and Cox , Samuel H. 2005 . Securitization of Mortality Risks in Life Annuities . Journal of Risk and Insurance , 72 ( 2 ) : 227 – 52 .
   Web of Science ®Google Scholar
• Marceau , Etienne and Gaillardetz , Patrice . 1999 . On Life Insurance Reserve in a Stochastic Mortality and Interest Rates Environment . Insurance: Mathematics and Economics , 25 ( 3 ) : 261 – 80 .
   Web of Science ®Google Scholar
• Merton , Robert C. 1973 . Theory of Rational Option Pricing . Bell Journal of Economics and Management Science , 4 ( 1 ) : 141 – 83 .
   Google Scholar
• Milevsky , Moshe A. and Promislow , S. David . 2001 . Mortality Derivatives and the Option to Annuitize . Insurance: Mathematics and Economics , 29 ( 3 ) : 299 – 318 .
   Web of Science ®Google Scholar
• Mitchell , Edward J. 1978 . Vertical Integration in the Oil Industry , Washington, DC : American Enterprise Institute . Capital Cost Savings of Vertical Integration
   Google Scholar
• Noymer , Andrew and Garenne , Michel . 2000 . The 1918 Influenza Epidemic’s Effects on Sex Differentials in Mortality in the United States . Population and Development Review , 26 ( 3 ) : 565 – 81 .
   PubMed Web of Science ®Google Scholar
• Peavy , John W. 1984 . Modern Finance Theory, Corporate Strategy, and Public Policy: Another Perspective . Academy of Management Review , 9 ( 1 ) : 152 – 57 .
   Web of Science ®Google Scholar
• Phillips , Richard D. , Cummins , J. David and Allen , Franklin . 1998 . Financial Pricing of Insurance in the Multiple-Line Insurance Company . Journal of Risk and Insurance , 65 ( 4 ) : 597 – 636 .
   Web of Science ®Google Scholar
• Rogers , Rick . 2002 . Will Mortality Improvements Continue? . National Underwriter , 106 ( 34 ) : 11 – 13 .
   Google Scholar
• Salter , Malcolm S. and Weinhold , Wolf A. 1979 . Diversification through Acquisition , New York : Free Press .
   Google Scholar
• Sommer , David W. 1996 . The Impact of Firm Risk on Property-Liability Insurance Prices . Journal of Risk and Insurance , 63 ( 3 ) : 501 – 14 .
   Web of Science ®Google Scholar
• Taubenberger , Jeffery K. and Morens , David M. 2006 . 1918 Influenza: The Mother of All Pandemics . Emerging Infectious Diseases , 12 ( 1 ) : 15 – 22 . www.cdc.gov/ncidod/EID/vol12no01/05-0979.htm.
   PubMed Web of Science ®Google Scholar
• Wang , Jennifer L. , Yang , Mary L. Y. and Pan , Steve Y. C. 2003 . 2003 Annual Meeting Proceedings , Thailand : Bangkok . Hedging Longevity Risk in Life Insurance Companies. In Asia-Pacific Risk and Insurance Association
   Google Scholar
• Wang , Shaun . 1996 . Premium Calculation by Transforming the Layer Premium Density . ASTIN Bulletin , 26 ( 1 ) : 71 – 92 .
   Google Scholar
• Wang , Shaun . 2000 . A Class of Distortion Operations for Pricing Financial and Insurance Risks . Journal of Risk and Insurance , 67 ( 1 ) : 15 – 36 .
   Web of Science ®Google Scholar
• Wang , Shaun . 2001 . A Universal Framework for Pricing Financial and Insurance Risks 679 – 703 . The 6th AFIR Proceedings, September
   Google Scholar