Consistent dynamic affine mortality models for longevity risk applications (Q2445991): Difference between revisions

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+Estimating continuous-time stochastic volatility models of the short-term interest rate
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+Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
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+Credit risk: Modelling, valuation and hedging
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+Affine processes for dynamic mortality and actuarial valuations
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+Interest Rate Dynamics and Consistent Forward Rate Curves
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+An arbitrage‐free generalized Nelson–Siegel term structure model
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+Valuation and hedging of life insurance liabilities with systematic mortality risk
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+Modeling and Forecasting U.S. Mortality
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+Mortality derivatives and the option to annuitise.
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+Term structure modelling of defaultable bonds
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+Affine stochastic mortality
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+Q3498088
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