1 |
Plat, R. (2009). On stochastic mortality modeling, Insurance: Mathematics and Economics, 45, 393-404.
DOI
|
2 |
Renshaw, A. E. and Haberman, S. (2006). A cohort-based extension to the Lee-Carter model for mortality reduction factors, Insurance: Mathematics and Economics, 38, 556-570.
DOI
|
3 |
Salou, J.-M. and Hu, Y.-W. (2006). Overview of the financial wealth accumulated under funded pension arrangements, Pension Markets in Focus, 3, 2-13.
|
4 |
Wang, S. S., Young, V. R. and Panjer, H. H. (1997). Axiomatic characterization of insurance prices, Insurance: Mathematics and Economics, 21, 173-183.
DOI
|
5 |
Wilmoth, J. R. (1993). Computational methods for fitting and extrapolating the Lee-Carter model of mortality change, Technical Report, Department of Demography, University of California, Berkeley.
|
6 |
Artzner, P., Delbaen, F., Eber, J. M. and Heath, D. (1999). Coherent measures of risk, Mathematical Finance, 9, 203-228.
DOI
|
7 |
Blake, D. and Burrows, W. (2001). Survivor bonds: Helping to hedge mortality risk, Journal of Risk and Insurance, 68, 339-348.
DOI
ScienceOn
|
8 |
Blake, D., Boardman, T. and Cairns, A. (2014). Sharing longevity risk: Why governments should issue longevity bonds, North American Actuarial Journal, 18, 258-277.
DOI
|
9 |
Borger, M., Fleischer, D. and Kuksin, N. (2014). Modeling the mortality trend under modern solvency regimes, Astin Bulletin, 44(01), 1-38.
DOI
|
10 |
Booth, H., Maindonald, J. and Smith, L. (2002). Applying Lee-Carter under conditions of variable mortality decline, Population Studies, 56, 325-336.
DOI
ScienceOn
|
11 |
Cairns, A. J., Blake, D. and Dowd, K. (2006). A two-factor model for stochastic mortality with parameter uncertainty: Theory and calibration, Journal of Risk and Insurance, 73, 687-718.
DOI
ScienceOn
|
12 |
Cairns, A. J., Blake, D., Dowd, K., Coughlan, G. D., Epstein, D., Ong, A. and Balevich, I. (2009). A quantitative comparison of stochastic mortality models using data from England and Wales and the United States, North American Actuarial Journal, 13, 1-35.
DOI
|
13 |
Cairns, A. J., Blake, D., Dowd, K., Coughlan, G. D., Epstein, D. and Khalaf-Allah, M. (2011). Mortality density forecasts: An analysis of six stochastic mortality models, Insurance: Mathematics and Economics, 48, 355-367.
DOI
|
14 |
Continuous Mortality Investigation, Mortality Committee (2009a). A Prototype Mortality Projections Model: Part One-An Outline of the Proposed Approach, CMI Working Paper 38.
|
15 |
Continuous Mortality Investigation, Mortality Committee (2009b). A Prototype Mortality Projections Model: Part Two-Detailed Analysis. CMI Working Paper 39.
|
16 |
Cox, S. H., Lin, Y. and Pedersen, H. (2010). Mortality risk modeling: Applications to insurance securitization, Insurance: Mathematics and Economics, 46, 242-253.
DOI
|
17 |
Cummins, J. D. (2008). CAT bonds and other risk-linked securities: State of the market and recent developments, Risk Management and Insurance Review, 11, 23-47.
DOI
ScienceOn
|
18 |
Hunt, A. and Blake, D. (2015). Modelling longevity bonds: Analysing the Swiss Re Kortis Bond, Insurance: Mathematics and Economics, http://dx.doi.org/10.1016/j.insmatheco.2015.03.017.
|
19 |
Currie, I. D. (2006). Smoothing and forecasting mortality rates with P-splines, Talk given at the Institute of Actuaries, June 2006, Available from http://www.macs.hw.ac.uk/iain/research/talks/London.2007.pdf.
|
20 |
De Jong, P. and Tickle, L. (2006). Extending Lee-Carter mortality forecasting, Mathematical Population Studies, 13, 1-18.
DOI
ScienceOn
|
21 |
Lee, K. and Jho, J. H. (2015). A two factor model with mean reverting process for stochastic mortality, The Korean Journal of Applied Statistics, 28, 393-406.
DOI
ScienceOn
|
22 |
Lee, R. D. and Carter, L. R. (1992). Modeling and forecasting US mortality, Journal of the American Statistical Association, 87, 659-671.
|
23 |
Lee, R. and Miller, T. (2001). Evaluating the performance of the Lee-Carter method for forecasting mortality, Demography, 38, 537-549.
DOI
ScienceOn
|
24 |
Ministry of Health & Welfare (2013). The third financial prospect of national pension, Technical report, Available from: http://www.mw.go.kr/front_new/al/sal0301ls.jsp?PAR_MENU_ID=04&MENU_ID=0403
|
25 |
Ministry of Stratage and Finance (2014). Goverment to Promote Private Plans, Press release at 27th of August, Available from: http://www.mosf.go.kr/news/news02.jsp
|
26 |
National Pension Service (2013). Number of Old-age Pensioners by Age Group, Sex & Administrative District, National Pension Statisitcal Yearbook, 212-216.
|
27 |
O'Hare, C. and Li, Y. (2012). Explaining young mortality, Insurance: Mathematics and Economics, 50, 12-25.
DOI
|