A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach (Q2812013): Difference between revisions

@@ Property / author @@
-Rogemar S. Mamon
@@ Property / author: Rogemar S. Mamon / rank @@
-Normal rank
@@ Property / author @@
+Rogemar S. Mamon
@@ Property / author: Rogemar S. Mamon / 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/10.1080/17442508.2013.859388
+Normal rank
@@ Property / OpenAlex ID @@
+W1996929291
@@ Property / OpenAlex ID: W1996929291 / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation of guaranteed annuity conversion options.
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+The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
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+Affine processes for dynamic mortality and actuarial valuations
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+Stochastic mortality under measure changes
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+Arbitrage Theory in Continuous Time
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+Guaranteed Annuity Options
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+Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
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+Valuation and hedging of life insurance liabilities with systematic mortality risk
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+On systematic mortality risk and risk-minimization with survivor swaps
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+On the (in-)dependence between financial and actuarial risks
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+The log-normal approximation in financial and other computations
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+Mathematics of financial markets.
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+Valuation of contingent claims with mortality and interest rate risks
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+A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
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+On lognormal random variables: I-the characteristic function
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+Securitization of catastrophe mortality risks
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+Pricing and hedging guaranteed annuity options via static option replication.
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+Survival models in a dynamic context: a survey
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+Securitization, structuring and pricing of longevity risk
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+Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models
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@@ links / mardi / name / links / mardi / name @@
+Publication:2812013