Jump diffusion transition intensities in life insurance and disability annuity (Q495519): Difference between revisions

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+Ji-Wook Jang
@@ Property / author: Ji-Wook Jang / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2015.07.002
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+W1097107786
@@ Property / OpenAlex ID: W1097107786 / rank @@
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@@ Property / cites work @@
+Affine processes for dynamic mortality and actuarial valuations
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@@ Property / cites work @@
+AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL
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+Dependent interest and transition rates in life insurance
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+Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
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+Multistate models in health insurance
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+Safety margins for unsystematic biometric risk in life and health insurance
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+Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
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+Valuation and hedging of life insurance liabilities with systematic mortality risk
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+The surprise element: Jumps in interest rates.
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+A general characterization of one factor affine term structure models
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+Jump diffusion processes and their applications in insurance and finance
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+Time-changed CIR default intensities with two-sided mean-reverting jumps
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+Mortality derivatives and the option to annuitise.
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+A MULTIVARIATE JUMP DIFFUSION PROCESS FOR COUNTERPARTY RISK IN CDS RATES
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+Q3996259
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+Securitization, structuring and pricing of longevity risk
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