Mortality-dependent financial risk measures

Insurance: Mathematics and Economics

Volumn 38, Issue 3, 2006, Pages 427-440

  Dowd, Kevin ^a   Cairns, Andrew J G ^b   Blake, David ^c  

^a UNIVERSITY OF NOTTINGHAM   (United Kingdom)

^b HERIOT WATT UNIVERSITY   (United Kingdom)

^c CITY UNIVERSITY   (United Kingdom)

Author keywords

Coherent risk measures; Longevity bonds; Mortality risk; Spectral risk measures; Value at risk

Indexed keywords

EID: 33646510552     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2005.11.003     Document Type: Article

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