Journal of Statistics: Advances in Theory and Applications[1] F. Black and M. Scholes, The pricing of options and corporate
liabilities, Journal of Political Economy 81(3) (1973), 637-654.
[2] A. Case and A. Deaton, Mortality and morbidity in the 21st
century, Brookings Papers on Economic Activity (2017), 397-476.
DOI: https://doi.org/10.1353/eca.2017.0005
[3] J. C. Cox, J. E. Ingersoll and S. A. Ross, A theory of the term
structure of interest rates, Econometrica 53(2) (1985), 385-407.
DOI: https://doi.org/10.2307/1911242
[4] M. Dahl, Stochastic mortality in life insurance: Market reserves
and mortality-linked insurance contracts, Insurance: Mathematics and
Economics 35 (2004), 113-136.
DOI: https://doi.org/10.1016/j.insmatheco.2004.05.003
[5] K. Dowd, D. Buckner, D. Balke and J. Fry, The valuation of
no-negative equity guarantees and equity release mortgages, Economic
Letters 184 (2019); Article 108669.
DOI: https://doi.org/10.1016/j.econlet.2019.108669
[6] B. Gompertz, On the nature of the function expressive of the law
of human mortality, and on a new mode of determining the value of life
contingencies, Philosophical Transaction of the Royal Society of
London 115 (1825), 513-583.
DOI: https://doi.org/10.1098/rstl.1825.0026
[7] H. C. Huang, C. W. Wang and Y. C. Miao, Securitization of
crossover risk in reverse mortgages, The Geneva Papers on Risk and
Insurance 36(4) (2011), 622-647.
DOI: https://doi.org/10.1057/gpp.2011.23
[8] M. A. Milevsky, Calibrating Gompertz in reverse: What is your
longevity-risk-adjusted global age?, Insurance: Mathematics and
Economics 92 (2020), 147-161.
DOI: https://doi.org/10.1016/j.insmatheco.2020.03.009
[9] E. Pitacco, Survival models in a dynamic context: A survey,
Insurance: Mathematics and Economics 35(2) (2004), 279-298.
DOI: https://doi.org/10.1016/j.insmatheco.2004.04.001
[10] S. J. Richards, A handbook of parametric survival models for
actuarial use, Scandinavian Actuarial Journal 2012(4) (2012),
233-257.
DOI: https://doi.org/10.1080/03461238.2010.506688
[11] W. Ries and D. Pothig, Chronological and biological age,
Experimental Gerontology 19(3) (1984), 211-216.
DOI: https://doi.org/10.1016/0531-5565(84)90041-X
[12] A. W. Shao, K. Hanewald and M. Sherris, Reverse mortgage pricing
and risk analysis allowing for idiosyncratic house price risk and
longevity risk, Insurance: Mathematics and Economics 63 (2015),
76-90.
DOI: https://doi.org/10.1016/j.insmatheco.2015.03.026
[13] J. T. Tsay, C. C. Lin, L. J. Prather and R. J. Buttimer, An
approximation approach for valuing reverse mortgages, Journal of
Housing Economics 25 (2014), 39-52.
DOI: https://doi.org/10.1016/j.jhe.2014.03.001
[14] L. Wang, E. A. Valdez and J. Piggot, Securitization of longevity
risk in reverse mortgages, North American Actuarial Journal 12(4)
(2008), 345-371.
DOI: https://doi.org/10.1080/10920277.2008.10597529
[15] W. J. Willemse and R. Kaas, Rational reconstruction of
frailty-based mortality models by a generalisation of Gompertz’ law
of mortality, Insurance: Mathematics and Economics 40(3) (2007),
468-484.
DOI: https://doi.org/10.1016/j.insmatheco.2006.07.003
