Idiosyncratic longevity risk and its management
Reverse Mortgage Pricing and Risk Analysis Allowing for Idiosyncratic House Price Risk and Longevity Risk
... how idiosyncratic house price risk and longevity risk impact the pricing and risk analysis of reverse mortgage ...price risk using a hybrid hedonic-repeat-sales model for ...
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Reverse Mortgage Pricing and Risk Analysis Allowing for Idiosyncratic House Price Risk and Longevity Risk
... and risk management impact of longevity risk (Wang et ...price risk typically analysed using time series models based on one market-wide index ...
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Modeling and Management of Longevity Risk
... of risk appetite or objective do the pension plan trustees have in mind that results in the derisking glide paths described above? A candidate for this lies in the realm of utility ...salary risk for active ...
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Mortality modelling and longevity risk management
... to risk for eah age and year, we assume that the death ounts are Poisson random v ariables and therefore use a log-link funtion for η x,t as it is the anonial link funtion for the Poisson distribution, as disussed ...
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Computational framework for longevity risk management
... that longevity risk is well managed and is supported by adequate financial ...of risk assessment should help to protect policyholders’ and pension plan members’ interests more effectively, by making ...
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Innovation and Idiosyncratic Risk
... about idiosyncratic risk? Financial economists are interested in idiosyncratic risk for various reasons outlined in Campbell et al (2000): (1) the effect it has on aggregate volatility; (2) ...
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The Securitization of Longevity Risk and its Implications for Retirement Security
... for risk to exist (Baranoff et ...‘longevity risk’ needs further explication to provide the context in which longevity presents a ‘risk’ rather than a ‘benefit’ to individuals and/or ...
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Liability-driven investment in longevity risk management
... residual risk by an appropriate choice of an investment ...with longevity-linked liabilities. We demonstrate how the hedge of a longevity-linked cash flow can be improved by taking the liabilities ...
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Firm transparency and idiosyncratic risk
... both management and investors, and what is even more important is the information transparency because of the possible linkage between this transparency and the ...
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Investment, idiosyncratic risk, and ownership
... capture the degree of product market competition in the industry, where we define indus- tries at the 3-digit SIC level. We use three alternative measures to capture the degree of investment irreversibility in a given ...
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Longevity Risk Management, Corporate Finance, and Sustainable Pensions
... market-based longevity hedge, this time with Canada Life in the U.K. (Trading Risk 2008; Life and Pension Risk ...million longevity swap linked not to an index, but to the actual mortality ...
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Longevity Risk Management in Singapore’s National Pension System
... mortality risk of the pool would ...national longevity insurance scheme that would “give Singaporeans confidence that the scheme will be properly administered” (CPF ...
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Longevity Risk Management in Singapore’s National Pension System
... mortality risk of the pool would ...national longevity insurance scheme that would “give Singaporeans confidence that the scheme will be properly administered” (CPF ...
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Longevity Risk Management, Corporate Finance and Sustainable Pensions
... of the liability recorded in the accounts. This liability is larger because it generally reflects more realistic longevity assumptions, market-based risk-free discount rates, expenses and a risk ...
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Cardiovascular disease and its impact on longevity and longevity improvement
... medical management and retirement planning are discussed by addressing the aims of the ...higher risk of dying than patients without the ...medical management by measuring their blood pressure on a ...
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Idiosyncratic risk assessment in the mortgage market
... Chapter 1 Introduction Mortgages are complex contracts committing the parties involved to a long-term trans- action agreement, and financing a good with both consumption and investment charac- teristics. Property ...
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The idiosyncratic risk in Chinese stock market
... Figure 1, 2 and 3 present the monthly time series of volatility components (MKT, IND and FIRM), using daily firm-level stock return data from 1998 to 2018. The top panels show the raw monthly time series and the bottom ...
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Costly arbitrage and the myth of idiosyncratic risk $
... involve idiosyncratic risk since a trader knows the portfolio weights of the stocks that comprise the index, and thus can construct a perfect ...Besides idiosyncratic risk, arbitrage in these ...
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Longevity Risk Management and the Development of a Life Annuity Market in Australia
... Longevity risk is a major policy issue for governments around the world driven by the increase in the proportion of older aged population resulting from improved mortality and lower ...insure ...
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Longevity Risk Management in Singapore s National Pension System
... mortality risk of the pool would ...national longevity insurance scheme that would “give Singaporeans confidence that the scheme will be properly administered” (CPF ...
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