REFERENCES
- Börger , M. 2010 . Deterministic Shock vs. Stochastic Value-at-Risk—An Analysis of the Solvency II Standard Model Approach to Longevity Risk . Blätter der DGVFM , 31 : 225 – 259 .
- Cairns , A. J. G. 2011 . Robust Hedging of Longevity Risk . Paper presented at the Seventh International Longevity Risk and Capital Markets Solutions Conference, Frankfurt, Germany
- Cairns , A. J. G. , Blake , D. , Dowd , K. , Coughlan , G. D. , Epstein , D. , Ong , A. and Balevich , I. 2009 . A Quantitative Comparison of Stochastic Mortality Models Using Data from England and Wales and the United States . North American Actuarial Journal , 13 : 1 – 35 .
- Cairns , A. J. G. , Blake , D. , Dowd , K. , Coughlan , G. D. and Khalaf-Allah , M. 2011 . Bayesian Stochastic Mortality Modelling for Two Populations . ASTIN Bulletin , 41 : 29 – 55 .
- Continuous Mortality Investigation Bureau. 2009 . A Prototype Mortality Projections Model: Part Two—Detailed Analysis . Continuous Mortality Investigation Working Paper 39
- Dowd , K. , Cairns , A. J. G. , Blake , D. , Coughlan , G. D. , Epstein , D. and Khalaf-Allah , M. 2011 . A Gravity Model of Mortality Rates for Two Related Populations . North American Actuarial Journal , 15 : 334 – 356 .
- Engle , R. F. and Granger , C. W. J. 1987 . Co-integration and Error Correction: Representation, Estimation and Testing . Econometrica , 55 : 251 – 276 .
- Human Mortality Database, University of California, Berkeley (USA), and Max Planck Institute for Demographic Research (Germany) . 2012 . Available at www.mortality.org or www.humanmortality.de
- Jarner , S. F. and Kryger , E. M. 2011 . Modelling Adult Mortality in Small Populations: The SAINT Model . ASTIN Bulletin , 41 : 377 – 418 .
- Lee , R. and Carter , L. 1992 . Modeling and Forecasting U.S. Mortality . Journal of the American Statistical Association , 87 : 659 – 671 .
- Lee , R. and Miller , T. 2001 . Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality . Demography , 38 : 537 – 549 .
- Li , J. S. H. and Hardy , M. R. 2011 . Measuring Basis Risk in Longevity Hedges . North American Actuarial Journal , 15 : 177 – 200 .
- Li , J. S. H. , Hardy , M. R. and Tan , K. S. 2010 . Developing Mortality Improvement Formulaes: The Canadian Insured Lives Case Study . North American Actuarial Journal , 14 : 381 – 399 .
- Li , J. S. H. , Hardy , M. R. and Tan , K. S. 2009 . Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach . ASTIN Bulletin , 39 : 137 – 164 .
- Li , N. and Lee , R. 2005 . Coherent Mortality Forecasts for a Group of Population: An Extension of the Lee-Carter Method . Demography , 42 : 575 – 594 .
- Mackenbach , J. P. , Bos , V. , Andersen , O. , Cardano , M. , Costa , G. , Harding , S. , Reid , A. , Hemstrom , O. , Valkonen , T. and Kunst , A. E. 2003 . Widening Socioeconomic Inequalities in Mortality in Six Western European Countries . International Journal of Epidemiology , 32 : 830 – 836 .
- Murphy , K. M. and Topel , R. H. 2002 . Estimation and Inference in Two-Step Econometric Models . Journal of Business and Economic Statistics , 20 : 88 – 97 .
- Richards , S. J. , Currie , I. D. and Ritchie , G. P. 2012 . A Value-at-Risk Framework for Longevity Trend Risk . A discussion paper presented to the Institute and Faculty of Actuaries
- Schwarz , G. 1978 . Estimating the Dimension of a Model . Annals of Statistics , 6 : 461 – 464 .
- Waldron , H. 2007 . Trends in Mortality Differentials and Life Expectancy for Male Social Security-Covered Workers, by Average Relative Earnings . ORES Working Paper Series No. 108
- Wilmoth , J. R. 1993 . Computational Methods for Fitting and Extrapolating the Lee-Carter Model of Mortality Change . Technical Report. Department of Demography, University of California, Berkeley
- Zhou , R. , Li , J. S. H. and Tan , K. S. 2011 . Pricing Standardized Mortality Securitizations: A Two-Population Model with Transitory Jump Effects . Paper presented at the Seventh International Longevity Risk and Capital Markets Solutions Conference, Frankfurt, Germany