Pricing longevity risk with the parametric bootstrap: a maximum entropy approach

DOI10.1016/j.insmatheco.2010.05.004zbMath1231.91441MaRDI QIDQ661233

Johnny Siu-Hang Li

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.05.004

zbMATH Keywords

Lee-Carter model; cohort effects; Cairns-Blake-Dowd model; canonical valuation; mortality-linked securities

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

91G40: Credit risk

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Uses Software

• Human Mortality

Cites Work

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