On the pricing of longevity-linked securities (Q659196): Difference between revisions

@@ Property / author @@
-Daniel J. Bauer
@@ Property / author: Daniel J. Bauer / rank @@
-Normal rank
@@ Property / author @@
+Daniel J. Bauer
@@ Property / author: Daniel J. Bauer / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2009.06.005
+Normal rank
@@ Property / OpenAlex ID @@
+W2172272462
@@ Property / OpenAlex ID: W2172272462 / rank @@
+Normal rank
@@ Property / cites work @@
+Rare Disasters and Asset Markets in the Twentieth Century*
+Normal rank
@@ Property / cites work @@
+Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
+Normal rank
@@ Property / cites work @@
+Hedging life insurance with pure endowments
@@ Property / cites work: Hedging life insurance with pure endowments / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
+Normal rank
@@ Property / cites work @@
+Affine processes for dynamic mortality and actuarial valuations
+Normal rank
@@ Property / cites work @@
+Q3773148
@@ Property / cites work: Q3773148 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
+Normal rank
@@ Property / cites work @@
+Natural Hedging of Life and Annuity Mortality Risks
+Normal rank
@@ Property / cites work @@
+Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
+Normal rank
@@ Property / cites work @@
+Continuous-time security pricing. A utility gradient approach
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Securitization of catastrophe mortality risks
@@ Property / cites work: Securitization of catastrophe mortality risks / rank @@
+Normal rank
@@ Property / cites work @@
+Mortality derivatives and the option to annuitise.
+Normal rank
@@ Property / cites work @@
+The timing of annuitization: Investment dominance and mortality risk
+Normal rank
@@ Property / cites work @@
+On the Applicability of the Wang Transform for Pricing Financial Risks
+Normal rank
@@ Property / cites work @@
+Q4230853
@@ Property / cites work: Q4230853 / rank @@
+Normal rank
@@ Property / cites work @@
+A Universal Framework for Pricing Financial and Insurance Risks
+Normal rank
@@ Property / cites work @@
+The prediction risk for the development of mortality -- can it be minimized by an appropriate portfolio composition?
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:659196