A recursive approach to mortality-linked derivative pricing (Q634010): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(5 intermediate revisions by 4 users not shown)
Property / author
 
Property / author: Marc J. Goovaerts / rank
Normal rank
 
Property / author
 
Property / author: Marc J. Goovaerts / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.03.003 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2058770011 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Affine processes for dynamic mortality and actuarial valuations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts / rank
 
Normal rank
Property / cites work
 
Property / cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fitting combinations of exponentials to probability distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Life Annuities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Closed-form approximations for diffusion densities: A path integral approach. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Actuarial risk measures for financial derivative pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Path integrals for potential problems with δ-function perturbation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on the connection between the Esscher-Girsanov transform and the Wang transform / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling and Forecasting U.S. Mortality / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mortality derivatives and the option to annuitise. / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Applicability of the Wang Transform for Pricing Financial Risks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lee-Carter mortality forecasting with age-specific enhancement. / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 09:23, 4 July 2024

scientific article
Language Label Description Also known as
English
A recursive approach to mortality-linked derivative pricing
scientific article

    Statements

    A recursive approach to mortality-linked derivative pricing (English)
    0 references
    0 references
    0 references
    0 references
    2 August 2011
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    mortality-linked derivative
    0 references
    diffusion process
    0 references
    transition density function
    0 references
    Feynman-Kac integral
    0 references
    0 references