North American Actuarial Journal, Volume 25, Issue sup1 (2021)

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North American Actuarial Journal, Volume 25, Issue sup1 (2021)

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Longevity Risk and Capital Markets - Longevity 12 and Longevity 13

Longevity 12 Introduction

Introduction
Longevity Risk and Capital Markets: The 2016–2017 Update
David Blake & Richard MacMinn
Pages: S1-S6
Published online: 01 Mar 2021
First Page PreviewforLongevity Risk and Capital Markets: The 2016–2017 Update | Full Text | References | PDF (134.6 KB) | EPUB
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Free Access

Longevity 12 Articles

Article
New Solutions to an Age-Old Problem: Innovative Strategies for Managing Pension and Longevity Risk
Amy Kessler
Pages: S7-S24
Published online: 20 Nov 2019
AbstractforNew Solutions to an Age-Old Problem: Innovative Strategies for Managing Pension and Longevity Risk | Full Text | References | PDF (2.9 MB) | EPUB
  • 6912 Views
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Open Access
Article
Reinsurance Sidecars: The Next Stage in the Development of the Longevity Risk Transfer Market
Nicholas Bugler, Kirsty Maclean, Vladimir Nicenko & Patrick Tedesco
Pages: S25-S39
Published online: 23 Jan 2020
AbstractforReinsurance Sidecars: The Next Stage in the Development of the Longevity Risk Transfer Market | Full Text | References | PDF (2.4 MB) | EPUB
  • 446 Views
  • 6 CrossRef citations
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Article
Optimal Longevity Risk Transfer and Investment Strategies
Samuel H. Cox, Yijia Lin & Sheen Liu
Pages: S40-S65
Published online: 30 Jan 2020
AbstractforOptimal Longevity Risk Transfer and Investment Strategies | Full Text | References | PDF (272.9 KB) | EPUB
  • 399 Views
  • 4 CrossRef citations
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Article
Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?
Kenneth Q. Zhou & Johnny Siu-Hang Li
Pages: S66-S96
Published online: 21 Nov 2019
AbstractforLongevity Greeks: What Do Insurers and Capital Market Investors Need to Know? | Full Text | References | PDF (2 MB) | EPUB
  • 222 Views
  • 6 CrossRef citations
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Article
Basis Risk in Index-Based Longevity Hedges: A Guide for Longevity Hedgers
Andrew J. G. Cairns & Ghali El Boukfaoui
Pages: S97-S118
Published online: 17 Dec 2019
AbstractforBasis Risk in Index-Based Longevity Hedges: A Guide for Longevity Hedgers | Full Text | References | PDF (1.5 MB) | EPUB
  • 276 Views
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Article
Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools
Ming-Hua Hsieh, Chenghsien Jason Tsai & Jennifer L. Wang
Pages: S119-S131
Published online: 30 Jan 2020
AbstractforMortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools | Full Text | References | PDF (547.4 KB) | EPUB
  • 303 Views
  • 3 CrossRef citations
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Article
Understanding Patterns of Mortality Homogeneity and Heterogeneity Across Countries and Their Role in Modeling Mortality Dynamics and Hedging Longevity Risk
Sharon S. Yang, Yu-Yun Yeh, Jack C. Yue & Hong Chih Huang
Pages: S132-S155
Published online: 17 Dec 2019
AbstractforUnderstanding Patterns of Mortality Homogeneity and Heterogeneity Across Countries and Their Role in Modeling Mortality Dynamics and Hedging Longevity Risk | Full Text | References | PDF (2.5 MB) | EPUB
  • 257 Views
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Article
Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices
Qiheng Guo & Daniel Bauer
Pages: S156-S169
Published online: 20 Nov 2019
AbstractforDifferent Shades of Risk: Mortality Trends Implied by Term Insurance Prices | Full Text | References | PDF (563.2 KB) | EPUB
  • 184 Views
  • 2 CrossRef citations
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Article
Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model
Kevin Dowd, Andrew J. G. Cairns & David Blake
Pages: S170-S181
Published online: 20 Nov 2019
AbstractforHedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model | Full Text | References | PDF (908.6 KB) | EPUB
  • 155 Views
  • 3 CrossRef citations
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Article
Optimal Portfolio Choice in Retirement With Participating Life Annuities
Ralph Rogalla
Pages: S182-S195
Published online: 01 Nov 2019
AbstractforOptimal Portfolio Choice in Retirement With Participating Life Annuities | Full Text | References | PDF (683.7 KB) | EPUB
  • 186 Views
  • 2 CrossRef citations
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Article
Flexible and Affordable Methods of Paying for Long-Term Care Insurance
Les Mayhew, Ben Rickayzen & David Smith
Pages: S196-S214
Published online: 18 Nov 2019
AbstractforFlexible and Affordable Methods of Paying for Long-Term Care Insurance | Full Text | References | PDF (435.7 KB) | EPUB
  • 291 Views
  • 5 CrossRef citations
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Article
On the Structure and Classification of Mortality Models
Andrew Hunt & David Blake
Pages: S215-S234
Published online: 26 Feb 2020
AbstractforOn the Structure and Classification of Mortality Models | Full Text | References | PDF (639.7 KB) | EPUB
  • 668 Views
  • 31 CrossRef citations
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Article
A Bayesian Approach to Modeling and Projecting Cohort Effects
Andrew Hunt & David Blake
Pages: S235-S254
Published online: 26 Feb 2020
AbstractforA Bayesian Approach to Modeling and Projecting Cohort Effects | Full Text | References | PDF (1.4 MB) | EPUB
  • 205 Views
  • 10 CrossRef citations
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Article
Improving HMD Mortality Estimates with HFD Fertility Data
Alexandre Boumezoued
Pages: S255-S279
Published online: 28 Jan 2020
AbstractforImproving HMD Mortality Estimates with HFD Fertility Data | Full Text | References | PDF (4.4 MB) | EPUB
  • 121 Views
  • 6 CrossRef citations
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Longevity 13 Introduction

Introduction
Longevity Risk and Capital Markets: The 2017–2018 Update
David Blake, Richard MacMinn, Jason Chenghsien Tsai & Jennifer Wang
Pages: S280-S308
Published online: 01 Mar 2021
First Page PreviewforLongevity Risk and Capital Markets: The 2017–2018 Update | Full Text | References | PDF (435.4 KB) | EPUB
  • 138 Views
  • 0 CrossRef citations
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Longevity 13 Articles

Article
An Efficient Method for Mitigating Longevity Value-at-Risk
Yanxin Liu & Johnny Siu-Hang Li
Pages: S309-S340
Published online: 17 Dec 2019
AbstractforAn Efficient Method for Mitigating Longevity Value-at-Risk | Full Text | References | PDF (956.4 KB) | EPUB
  • 185 Views
  • 5 CrossRef citations
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Article
Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes
Johnny Siu-Hang Li, Jackie Li, Uditha Balasooriya & Kenneth Q. Zhou
Pages: S341-S372
Published online: 21 Nov 2019
AbstractforConstructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes | Full Text | References | PDF (1.2 MB) | EPUB
  • 162 Views
  • 3 CrossRef citations
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Article
Hedging Longevity Risk: Does the Structure of the Financial Instrument Matter?
Richard D. MacMinn & Nan Zhu
Pages: S373-S384
Published online: 22 Nov 2019
AbstractforHedging Longevity Risk: Does the Structure of the Financial Instrument Matter? | Full Text | References | PDF (198.9 KB) | EPUB
  • 165 Views
  • 1 CrossRef citations
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Article
An Analysis of Period and Cohort Mortality Shocks in International Data
David McCarthy & Po-Lin Wang
Pages: S385-S409
Published online: 18 Nov 2019
AbstractforAn Analysis of Period and Cohort Mortality Shocks in International Data | Full Text | References | PDF (1.9 MB) | EPUB
  • 202 Views
  • 5 CrossRef citations
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Article
Using Graduation to Modify the Estimation of Lee–Carter Model for Small Populations
Jack C. Yue, Hsin-Chung Wang & Tzu-Yu Wang
Pages: S410-S420
Published online: 18 Nov 2019
AbstractforUsing Graduation to Modify the Estimation of Lee–Carter Model for Small Populations | Full Text | References | PDF (326.2 KB) | EPUB
  • 198 Views
  • 2 CrossRef citations
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Article
A Multi-population Approach to Forecasting All-Cause Mortality Using Cause-of-Death Mortality Data
Pintao Lyu, Anja De Waegenaere & Bertrand Melenberg
Pages: S421-S456
Published online: 23 Jan 2020
AbstractforA Multi-population Approach to Forecasting All-Cause Mortality Using Cause-of-Death Mortality Data | Full Text | References | PDF (2.2 MB) | EPUB
  • 2238 Views
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Open Access
Article
A Synthesis Mortality Model for the Elderly
Karen C. Su & Jack C. Yue
Pages: S457-S481
Published online: 01 Nov 2019
AbstractforA Synthesis Mortality Model for the Elderly | Full Text | References | PDF (2.2 MB) | EPUB
  • 200 Views
  • 1 CrossRef citations
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Article
Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing
Andrew Hunt & David Blake
Pages: S482-S507
Published online: 24 Feb 2020
AbstractforForward Mortality Rates in Discrete Time I: Calibration and Securities Pricing | Full Text | References | PDF (924.6 KB) | EPUB
  • 203 Views
  • 3 CrossRef citations
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Article
Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies
Andrew Hunt & David Blake
Pages: S508-S533
Published online: 24 Feb 2020
AbstractforForward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies | Full Text | References | PDF (978.6 KB) | EPUB
  • 192 Views
  • 4 CrossRef citations
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Article
Mortality Forecasts for Long-Term Care Subpopulations with Longevity Risk: A Bayesian Approach
Atsuyuki Kogure, Takahiro Fushimi & Shinichi Kamiya
Pages: S534-S544
Published online: 22 Nov 2019
AbstractforMortality Forecasts for Long-Term Care Subpopulations with Longevity Risk: A Bayesian Approach | Full Text | References | PDF (531.7 KB) | EPUB
  • 232 Views
  • 2 CrossRef citations
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Article
An Investigation into Inequalities in Adult Lifespan
Les Mayhew & David Smith
Pages: S545-S565
Published online: 20 Nov 2019
AbstractforAn Investigation into Inequalities in Adult Lifespan | Full Text | References | PDF (998.7 KB) | EPUB
  • 163 Views
  • 3 CrossRef citations
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Article
Rising Inequality in Life Expectancy by Socioeconomic Status
Geoffrey T. Sanzenbacher, Anthony Webb, Candace M. Cosgrove & Natalia Orlova
Pages: S566-S581
Published online: 18 Dec 2019
AbstractforRising Inequality in Life Expectancy by Socioeconomic Status | Full Text | References | PDF (302.1 KB) | EPUB
  • 504 Views
  • 7 CrossRef citations
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Article
Mortality Differential and Social Insurance: A Case Study in Taiwan
Chih-Kai Chang, Jack C. Yue, Chian-Jing Chen & Yen-Wen Chen
Pages: S582-S592
Published online: 17 Dec 2019
AbstractforMortality Differential and Social Insurance: A Case Study in Taiwan | Full Text | References | PDF (861.3 KB) | EPUB
  • 172 Views
  • 2 CrossRef citations
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