Babbel, D.F. and Merrill, C.B. (2006) Rational Decumulation. Philadelphia: Wharton School, University of Pennsylvania.
Bauer, D., Börger, M.} and Ruß, J. (2010) On the pricing of longevity-linked securities. Insurance: Mathematics and Economics, 46
Bauer, D., Börger, M., Ruß, J. and Zwiesler, H.-J. (2008) The volatility of mortality. Asia-Pacific Journal of Risk and Insurance, 3
Biffis, E. and Blake, D. (2010) Securitizing and tranching longevity exposures. Insurance: Mathematics and Economics, 46
Biffis, E., Denuit, M. and Devolder, P. (2010) Stochastic mortality under measure changes. Scandinavian Actuarial Journal, 2010
Blackburn, C. (2013) Longevity Risk Management and Securitisation in an Affine Mortality Modelling Framework. University of New South Wales, PhD Thesis.
Blackburn, C. and Sherris, M. (2013) Consistent dynamic affine mortality models for longevity risk applications. Insurance: Mathematics and Economics, 53
Blake, D. and Burrows, W. (2001) Survivor bonds: Helping to hedge mortality risk. Journal of Risk and Insurance, 68
Blake, D., Cairns, A., Dowd, K. and MacMinn, R. (2006) Longevity Bonds: Financial Engineering, Valuation, and Hedging. Journal of Risk & Insurance, 73
Blake, D., De Waegenaere, A., MacMinn, R. and Nijman, T. (2010) Longevity risk and capital markets: The 2008-2009 update. Insurance: Mathematics and Economics, 46
Cairns, A., Blake, D. and Dowd, K. (2006) Pricing death: Frameworks for the valuation and securitization of mortality risk. ASTIN Bulletin, 36
Coughlan, G., Epstein, D., Sinha, A. and Honig, P. (2007) q-forwards: Derivatives for transferring longevity and mortality risk. Tech. rep., JPMorgan Pension Advisory Group.
Cowley, A. and Cummins, J. (2005) Securitization of life insurance assets and liabilities. Journal of Risk and Insurance, 72
Cummins, J. D. and Trainar, P. (2009) Securitization, Insurance, and Reinsurance. Journal of Risk and Insurance, 76
Dahl, M. (2004) Stochastic mortality in life insurance: Market reserves and mortality-linked insurance contracts. Insurance: Mathematics and Economics, 35
Dowd, K., Blake, D., Cairns, A. and Dawson, P. (2006) Survivor swaps. Journal of Risk and Insurance, 73
Doyle, S., Mitchell, O. S. and Piggott, J. (2004) Annuity values in defined contribution retirement systems: Australia and Singapore compared. Australian Economic Review, 37
Duffie, D. and Singleton, K. J. (1999) Modeling term structures of defaultable bonds. Review of Financial Studies, 12
Fama, E. F. and French, K. R. (2002) The equity premium. The Journal of Finance, 57
Froot, K. A. (2007) Risk management, capital budgeting, and capital structure policy for insurers and reinsurers. Journal of Risk and Insurance, 74
Ganegoda, A. and Bateman, H. (2008) Australia's disappearing market for life annuities. UNSW Centre for Pensions and Superannuation Discussion Paper 1 (08), Australian School of Business, University of New South Wales, Sydney.
Glasserman, P. (2003) Monte Carlo Methods in Financial Engineering, 1st Edition. Springer, New York.
Gründl, H., Post, T. and Schulze, R. N. (2006) To hedge or not to hedge: Managing demographic risk in life insurance companies. Journal of Risk and Insurance, 73
Gupta, A. and Wang, H. (2011) Assessing securitisation and hedging strategies for management of longevity risk. International Journal of Banking, Accounting and Finance, 3
Heath, D., Jarrow, R. and Morton, A. (1992) Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica, 60
James, E. and Vittas, D. (2001) Annuity markets in comparative perspective: Do consumers get their money's wotrth? In: Private Pensions Series OECD 2000 Private Pensions Conference. Vol. 3. OECD Publishing, p. 313.
Krvavych, Y. and Sherris, M. (2006) Enhancing insurer value through reinsurance optimization. Insurance: Mathematics and Economics, 38
Lakdawalla, D. and Zanjani, G. (2012) Catastrophe bonds, reinsurance, and the optimal collateralization of risk-transfer. The Journal of Risk and Insurance, 79
Lando, D. (1998) On cox processes and credit risky securities. Review of Derivatives Research, 2
Liu, C. E. and Sherris, M. (2015) Immunization and Hedging of Longevity Risk. UNSW Business School Research Paper (2015ACTL12), Australia: University of New South Wales.
Luciano, E., Regis, L. and Vigna, E. (2012) Delta–gamma hedging of mortality and interest rate risk. Insurance: Mathematics and Economics, 50
MacMinn, R. and Richter, A. (2011) The Choice of Trigger in an Insurance Linked Security: The Mortality Risk Case. Tech. rep., Illinois State University.
Milevsky, M. and Promislow, S. D. (2001) Mortality derivatives and the option to annuitise. Insurance: Mathematics and Economics, 29
Milevsky, M. A., Promislow, S. D. and Young, V. R. (2005) Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments. Quantitative finance papers, arXiv.org.
Miltersen, K. R. and Persson, S.-A. (2005) Is mortality dead? Stochastic forward force of mortality rate determined by no arbitrage}. Tech. Rep. June 2005, Norwegian School of Economics.
Ngai, A. and Sherris, M. (2011) Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives. Insurance: Mathematics and Economics, 49
Nirmalendran, M., Sherris, M. and Hanewald, K. (2013) Pricing and solvency of value-maximizing life annuity providers. ASTIN Bulletin, 44
Olivieri, A. (2005) Designing longevity risk transfers: The point of view of the cedant. Giornale dell'Istituto Italiano degli Attuari LXVIII, 1–35, reprinted on: ICFAI Journal of Financial Risk Management Issue March 2007.
Olivieri, A. and Pitacco, E. (2003) Solvency requirements for pension annuities. Journal of Pension Economics and Finance, 2
Olivieri, A. and Pitacco, E. (2008) Assessing the cost of capital for longevity risk. Insurance: Mathematics and Economics, 42
Plat, R. (2011) One-year value-at-risk for longevity and mortality. Insurance: Mathematics and Economics, 49
Schönbucher, P. J. (1998) Term structure modelling of defaultable bonds. Review of Derivatives Research, 2
Swiss Re (2005) Insurer's cost of capital and economic value creation: Principles and practical implications. Swiss Re Technical Publishing Sigma 3.
Tan, K. S., Blake, D. and MacMinn, R. (2015) Longevity risk and capital markets: The 2013–2014 update.
Insurance: Mathematics and Economics, 63, 1–11.
Wills, S. and Sherris, M. (2010) Securitization, structuring and pricing of longevity risk. Insurance: Mathematics and Economics, 46
Yow, S. and Sherris, M. (2008) Enterprise risk management, insurer value maximisation, and market frictions. ASTIN Bulletin, 38
Zanjani, G. (2002) Pricing and capital allocation in catastrophe insurance. Journal of Financial Economics, 65
Zimmer, A., Gründl, H. and Schade, C. (2011) Price-Default Risk-Demand-Curves and the Optimal Corporate Risk Strategy of Insurers: A Behavioral ApproachHumboldt-Universität zu Berlin and Goethe University Frankfurt}.
Zimmer, A., Schade, C. and Gründl, H. (2009) Is default risk acceptable when purchasing insurance? Experimental evidence for different probability representations, reasons for default, and framings. Journal of Economic Psychology, 30