Longevity risk and capital markets: The 2019-20 update

D Blake, AJG Cairns - Insurance: Mathematics and Economics, 2021 - Elsevier
Abstract This Special Issue of Insurance: Mathematics and Economics contains 16
contributions to the academic literature all dealing with longevity risk and capital markets …

Valuation of longevity-linked life annuities

JM Bravo, NEM de Freitas - Insurance: Mathematics and Economics, 2018 - Elsevier
In this paper we show that the fair value of a pure longevity-linked life annuity can be
decomposed into a traditional fixed annuity and a basket of European-style longevity (call …

Longevity bond pricing under stochastic interest rate and mortality with regime-switching

Y Shen, TK Siu - Insurance: Mathematics and Economics, 2013 - Elsevier
We develop a flexible model to value longevity bonds which incorporates several important
sources of risk, namely, interest rate risk, mortality risk and the risk due to structural changes …

Longevity risk and capital markets: the 2021–22 update

D Blake, AJG Cairns, M Kallestrup-Lamb… - Journal of …, 2023 - cambridge.org
This special issue of the Journal of Demographic Economics contains 10 contributions to the
academic literature all dealing with longevity risk and capital markets. Draft versions of the …

Pricing buy‐ins and buy‐outs

Y Lin, T Shi, A Arik - Journal of Risk and Insurance, 2017 - Wiley Online Library
Pension buy‐ins and buy‐outs have become an important aspect of managing pension risk
in recent years. As a step toward understanding these pension de‐risking instruments, we …

Longevity risk and capital markets: The 2013-14 update

KS Tan, DP Blake, RD MacMinn - 2015 - papers.ssrn.com
Longevity risk and related capital market solutions have grown increasingly important in
recent years, both in academic research and in the markets we refer to as the new Life …

Longevity risk and capital markets: The 2015-16 update

DP Blake, N El Karoui, RD MacMinn, S Loisel - 2017 - papers.ssrn.com
Abstract This Special Issue of Insurance: Mathematics and Economics contains 16
contributions to the academic literature all dealing with longevity risk and capital markets …

Managing weather risks: The case of J. League soccer teams in Japan

H Ito, J Ai, A Ozawa - Journal of Risk and Insurance, 2016 - Wiley Online Library
Weather‐related risks present significant concerns for businesses worldwide. This article
studies the impact weather conditions have on the financial performance of sports teams …

Longevity risk and capital markets: the 2018–19 update

D Blake, AJG Cairns - Annals of Actuarial Science, 2020 - cambridge.org
Longevity risk and related capital market solutions have grown increasingly important in
recent years, both in academic research and in the markets we refer to as the Life Market …

Longevity risk and capital markets: the 2022–2023 update

D Blake, J Li - The Geneva Papers on Risk and Insurance-Issues and …, 2024 - Springer
Longevity risk and related capital market solutions have grown increasingly important in
recent years, both in academic research and in the markets we refer to as the life market, ie …