Cohort and value-based multi-country longevity risk management
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2020/01/14
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Journal
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Indian UGC (journal)
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Refrences39
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Citations7
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Michael Sherris Risk and Actuarial Studies, UNSW Business School, Centre of Excellence in Population Ageing Research (CEPAR), UNSW Sydney, Sydney, NSW, Australia ORCID (unauthenticated)
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Yajing Xu SWUFE, Chengdu, People's Republic of China
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Jonathan Ziveyi Risk and Actuarial Studies, UNSW Business School, Centre of Excellence in Population Ageing Research (CEPAR), UNSW Sydney, Sydney, NSW, Australia ORCID (unauthenticated)
Cite
Sherris, Michael, et al. “Cohort and Value-Based Multi-Country Longevity Risk Management”. Scandinavian Actuarial Journal, vol. 2020, no. 7, 2020, pp. 650-76, https://doi.org/10.1080/03461238.2019.1711450.
Sherris, M., Xu, Y., & Ziveyi, J. (2020). Cohort and value-based multi-country longevity risk management. Scandinavian Actuarial Journal, 2020(7), 650-676. https://doi.org/10.1080/03461238.2019.1711450
Sherris, Michael, Yajing Xu, and Jonathan Ziveyi. “Cohort and Value-Based Multi-Country Longevity Risk Management”. Scandinavian Actuarial Journal 2020, no. 7 (2020): 650-76. https://doi.org/10.1080/03461238.2019.1711450.
Sherris M, Xu Y, Ziveyi J. Cohort and value-based multi-country longevity risk management. Scandinavian Actuarial Journal. 2020;2020(7):650-76.
Journal Categories
Science
Mathematics
Science
Mathematics
Probabilities
Mathematical statistics
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Sociology (General)
Social Sciences
Statistics
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Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
Long Run Returns Predictability and Volatility with Moving Averages | Risks |
| 6 | 2018 |
| Long Run Returns Predictability and Volatility with Moving Averages | Scandinavian Actuarial Journal |
| 2016 | |
| Long Run Returns Predictability and Volatility with Moving Averages | 1936 | |||
| The Application of Affine Processes in Multi-Cohort Mortality Model | SSRN Electronic Journal | 5 | 2015 | |
| 10.1016/0304-405X(77)90016-2 |
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Mortality improvement neural-network models with autoregressive effects | The Geneva Papers on Risk and Insurance - Issues and Practice |
| 2024 | |
| Multi-population mortality modeling with Lévy processes | Decisions in Economics and Finance |
| 2023 | |
Pricing and hedging of longevity basis risk through securitisation | ASTIN Bulletin |
| 2023 | |
| Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time | European Actuarial Journal |
| 2 | 2021 |
| Longevity risk and capital markets: The 2019-20 update | Insurance: Mathematics and Economics |
| 8 | 2021 |
Citations Analysis
The category
Social Sciences: Economic theory. Demography: Economics as a science 4
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Optimal Dynamic Longevity Hedge with Basis Risk and was published in 2020. The most recent citation comes from a 2024 study titled Mortality improvement neural-network models with autoregressive effects. This article reached its peak citation in 2021, with 3 citations. It has been cited in 6 different journals. Among related journals, the ASTIN Bulletin cited this research the most, with 2 citations. The chart below illustrates the annual citation trends for this article.