Annuity contract valuation under dependent risks (Q2300949): Difference between revisions

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+Stochastic mortality under measure changes
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+Normal rank
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+Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
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+Comonotonic approximations to quantiles of life annuity conditional expected present value
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+Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
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+The concept of comonotonicity in actuarial science and finance: theory.
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+The concept of comonotonicity in actuarial science and finance: applications.
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+On the (in-)dependence between financial and actuarial risks
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+A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks
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+Stochastic flows and the forward measure
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+Normal rank
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+Pricing a guaranteed annuity option under correlated and regime-switching risk factors
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+Pricing Interest-Rate-Derivative Securities
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+Normal rank
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+Valuation of contingent claims with mortality and interest rate risks
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+Upper and lower bounds for sums of random variables
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+Modeling and Forecasting U.S. Mortality
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+Normal rank
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+A comonotonicity-based valuation method for guaranteed annuity options
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+A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
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+Three ways to solve for bond prices in the Vasiček model
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+An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions
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+Optimal approximations for risk measures of sums of lognormals based on conditional expectations
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+An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
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