Delta-gamma hedging of mortality and interest rate risk (Q414608): Difference between revisions

@@ 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.2012.01.006
+Normal rank
@@ Property / OpenAlex ID @@
+W3124733721
@@ Property / OpenAlex ID: W3124733721 / rank @@
+Normal rank
@@ Property / cites work @@
+Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
+Normal rank
@@ Property / cites work @@
+Affine processes for dynamic mortality and actuarial valuations
+Normal rank
@@ Property / cites work @@
+Longevity risk and capital markets: the 2008-2009 update
+Normal rank
@@ Property / cites work @@
+Point processes and queues. Martingale dynamics
@@ Property / cites work: Point processes and queues. Martingale dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
+Normal rank
@@ Property / cites work @@
+Valuation and hedging of life insurance liabilities with systematic mortality risk
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+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 @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+Q3774629
@@ Property / cites work: Q3774629 / rank @@
+Normal rank
@@ Property / cites work @@
+Delta, gamma and bucket hedging of interest rate derivatives
+Normal rank
@@ Property / cites work @@
+On Cox processes and credit risky securities
@@ Property / cites work: On Cox processes and credit risky securities / rank @@
+Normal rank
@@ Property / cites work @@
+Modelling stochastic mortality for dependent lives
+Normal rank
@@ Property / cites work @@
+Q4962323
@@ Property / cites work: Q4962323 / rank @@
+Normal rank
@@ Property / cites work @@
+Mortality derivatives and the option to annuitise.
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:414608