Annuity contract valuation under dependent risks (Q2300949)

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Language	Label	Description	Also known as
English	Annuity contract valuation under dependent risks	scientific article

Statements

scholarly article

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Annuity contract valuation under dependent risks (English)

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Rogemar S. Mamon

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Japan Journal of Industrial and Applied Mathematics

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publication date

28 February 2020

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zbMATH Keywords

Lee-Carter model

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mortality

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Hull-White model

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comonotonic bound

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forward measure

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numériare

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s13160-019-00366-2

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Stochastic mortality under measure changes

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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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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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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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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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Identifiers

zbMATH Open document ID

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10.1007/s13160-019-00366-2

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2300949

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