Longevity/Mortality Risk Modeling and Securities Pricing

Modeling and Forecasting U.S. Mortality

Ronald Lee, Lawrence R. Carter · Journal of the American Statistical Association · 1992 · 1.8K citations

Social Sciences, Demography, Forecasting +16

<scp>A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration</scp>

Andrew J. G. Cairns, David Blake, Kevin Dowd · Journal of Risk & Insurance · 2006 · 935 citations · Full text

Business, Economics, Finance +15

A Poisson log-bilinear regression approach to the construction of projected lifetables

Natacha Brouhns, Michel Denuit, Jeroen K. Vermunt · Insurance Mathematics and Economics · 2002 · 748 citations · Full text

Public Health, Biostatistics, Lifecycle Engineering +9

Option Pricing Under a Double Exponential Jump Diffusion Model

Steven Kou, Hui Wang · Management Science · 2004 · 637 citations

Business, Finance, Financial Economics +16

Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts

Mikkel Dahl · Insurance Mathematics and Economics · 2004 · 365 citations

Business, Insurance, Risk Management +15