Affine processes for dynamic mortality and actuarial valuations

DOI10.1016/J.INSMATHECO.2005.05.003zbMath1129.91024OpenAlexW3123486469MaRDI QIDQ817280

Publication date: 8 March 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.05.003

zbMATH Keywords

longevity risk stochastic mortality doubly stochastic processes affine jump-diffusion fair value

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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