Optimal Longevity Risk Transfer and Investment Strategies

REFERENCES

• ARTEMIS. 2014. Swiss Re, SCOR in £5 billion longevity swap transaction for Aviva. Accessed March 6, 2014. http://www.artemis.bm.
   Google Scholar
• Beliaeva, N. A., G. M. Soto, S. K. Nawalkha, and I. Ismailescu. 2007. Dynamic term structure modeling: The fixed income valuation course. New York: Wiley.
   Google Scholar
• Cairns, A. J., D. Blake, and K. Dowd. 2006. Pricing death: Frameworks for the valuation and securitization of mortality risk. ASTIN Bulletin 36 (1): 79–120. doi:10.1017/S0515036100014410
   Web of Science ®Google Scholar
• Cairns, A. J., D. Blake, and K. Dowd. 2008. Modelling and management of mortality risk: A review. Scandinavian Actuarial Journal 2008 (2–3): 79–113. doi:10.1080/03461230802173608
   Web of Science ®Google Scholar
• Collin-Dufresne, P. 2004 (June). Affine term structure models I: Term-premia and stochastic volatility. UC Berkeley, lectures given at Copenhagen Business School.
   Google Scholar
• Cox, J. C., and C. F. Huang. 1989. Optimal consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory 49: 33–83. doi:10.1016/0022-0531(89)90067-7
   Web of Science ®Google Scholar
• Cox, J. C., J. E. Ingersoll, Jr., and S. A. Ross. 1985. A theory of the term structure of interest rates. Econometrica 53 (2): 385–407. doi:10.2307/1911242
   Web of Science ®Google Scholar
• Cox, S. H., and Y. Lin. 2007. Natural hedging of life and annuity mortality risks. North American Actuarial Journal 11 (3): 1–15. doi:10.1080/10920277.2007.10597464
   Google Scholar
• Cox, S. H., Y. Lin, and H. Petersen. 2010. Mortality risk modeling: Applications to insurance securitization. Insurance: Mathematics and Economics 46 (1), 242–53. doi:10.1016/j.insmatheco.2009.09.012
   Web of Science ®Google Scholar
• Cox, S. H., Y. Lin, R. Tian, and L. F. Zuluaga. 2013. Mortality portfolio risk management. Journal of Risk and Insurance 80 (4):853–90. doi:10.1111/j.1539-6975.2012.01469.x
   Web of Science ®Google Scholar
• Cox, S. H., Y. Lin, and S. Wang. 2006. Multivariate exponential tilting and pricing implications for mortality securitization. Journal of Risk and Insurance 73 (4):719–36. doi:10.1111/j.1539-6975.2006.00196.x
   Web of Science ®Google Scholar
• Cummins, J. D., and P. Trainar. 2009. Securitization, insurance, and reinsurance. Journal of Risk and Insurance 76 (3):463–92.
   Web of Science ®Google Scholar
• Cvitanic, J., and I. Karatzas. 1992. Convex duality in constrained portfolio optimization. The Annals of Applied Probability 2 (4): 767–818. doi:10.1214/aoap/1177005576
   Google Scholar
• Dahl, M., and T. Møller. 2006. Valuation and hedging of life insurance liabilities with systematic mortality risk. Insurance: Mathematics and Economics 39 (2): 193 – 217. doi:10.1016/j.insmatheco.2006.02.007
   Web of Science ®Google Scholar
• Duffie, D. 2001. Dynamic asset pricing theory. 3rd ed. Princeton, NJ: Princeton University Press.
   Google Scholar
• Ekeland, I., and E. Taflin,. 2005. A theory of bond portfolios. The Annals of Applied Probability 15 (2): 1260–1305. doi:10.1214/105051605000000160
   Web of Science ®Google Scholar
• Hakansson, N. H. 1970. Optimal investment and consumption strategies under risk for a class of utility functions. Econometrica 38 (5):587–607. doi:10.2307/1912196
   Web of Science ®Google Scholar
• Halkias, M. 2015. J.C. Penney cuts its pension obligation with lump-sums and Prudential annuities. Accessed October 2, 2015. http://bizbeatblog.dallasnews.com.
   Google Scholar
• Hull, J., and A. White. 1990. Pricing interest-rate-derivative securities. Review of Financial Studies 3 (4): 573–92. doi:10.1093/rfs/3.4.573
   Web of Science ®Google Scholar
• Karatzas, I., J. P. Lehoczky, and S. E. Shreve. 1987. Optimal portfolio and consumption decisions for a “small investor” on a finite horizon. SIAM Journal of Control and Optimization 25 (6): 1557–86. doi:10.1137/0325086
   Web of Science ®Google Scholar
• Karatzas, I., and S. Shreve. 1991. Brownian motion and stochastic calculus. Vol.113. New York: Springer Science & Business Media.
   Google Scholar
• Korn, R., and H. Kraft. 2002. A stochastic control approach to portfolio problems with stochastic interest rates. SIAM Journal on Control and Optimization 40 (4): 1250–69. doi:10.1137/S0363012900377791
   Web of Science ®Google Scholar
• Lane Clark & Peacock LLP. 2015 (December). De-risking opportunities in 2016 as insurer capacity increases to over £15bn. http://www.lcp.uk.com.
   Google Scholar
• Lin, Y., and S. H. Cox. 2005. Securitization of mortality risks in life annuities. Journal of Risk and Insurance 72 (2): 227–52. doi:10.1111/j.1539-6975.2005.00122.x
   Web of Science ®Google Scholar
• Lin, Y., S. Liu, and J. Yu. 2013. Pricing mortality securities with correlated mortality indices. Journal of Risk and Insurance 80 (4): 921–48. doi:10.1111/j.1539-6975.2012.01481.x
   Web of Science ®Google Scholar
• Lin, Y., R. D. MacMinn, and R. Tian. 2015. De-risking defined benefit plans. Insurance: Mathematics and Economics 63:52–65. doi:10.1016/j.insmatheco.2015.03.028
   Web of Science ®Google Scholar
• Lin, Y., R. D. MacMinn, R. Tian, and J. Yu. 2017. Pension risk management in the enterprise risk management framework. Journal of Risk and Insurance, 84: 345–65.
   Google Scholar
• Lin, Y., T. Shi, and A. Arik. 2017. Pricing buy-ins and buy-outs. Journal of Risk and Insurance 84: 367–92. doi:10.1111/jori.12159
   Web of Science ®Google Scholar
• Lin, Y., K. S. Tan, R. Tian, and J. Yu. 2014. Downside risk management of a defined benefit plan considering longevity basis risk. North American Actuarial Journal 18 (1): 68–86. doi:10.1080/10920277.2013.852064
   Google Scholar
• Loubergé, H., E. Kellezi, and M. Gilli. 1999. Using catastrophe-linked securities to diversify insurance risk: A financial analysis of cat bonds. Journal of Insurance Issues 22 (2): 125–46.
   Google Scholar
• Merton, R. C. 1969. Lifetime portfolio selection under uncertainty: The continuous-time case. Review of Economics and Statistics 51: 247–57. doi:10.2307/1926560
   Web of Science ®Google Scholar
• Pension Insurance Corporation. 2015. Removing risk from defined benefit pension funds. http://www.pensioncorporation.com.
   Google Scholar
• Pulley, L. B. 1983. Mean–variance approximations to expected logarithmic utility. Operations Research 31: 685–96. doi:10.1287/opre.31.4.685
   Web of Science ®Google Scholar
• Rockafellar, R. T. 1970. Convex analysis. Princeton, NJ: Princeton University Press.
   Google Scholar
• Rogers, L. C. G. 2001. The relaxed investor and parameter uncertainty. Finance and Stochastics 5 (2):131–54. doi:10.1007/PL00013532
   Google Scholar