Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
From MaRDI portal
Publication:938032
DOI10.1016/j.insmatheco.2007.09.008zbMath1140.91377OpenAlexW1980960272MaRDI QIDQ938032
Publication date: 18 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.09.008
no arbitragemarked point processmartingale measureterm structure modeljump-diffusionHedging strategies
Related Items
Delta-gamma hedging of mortality and interest rate risk ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Do actuaries believe in longevity deceleration? ⋮ Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans ⋮ Consistent dynamic affine mortality models for longevity risk applications ⋮ Stochastic mortality models: an infinite-dimensional approach ⋮ On the robustness of longevity risk pricing ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Regime-switching shot-noise processes and longevity bond pricing ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing ⋮ Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies ⋮ On the effectiveness of natural hedging for insurance companies and pension plans ⋮ Risk-minimization for life insurance liabilities with basis risk
Cites Work
- Unnamed Item
- Affine processes for dynamic mortality and actuarial valuations
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Management of a pension fund under mortality and financial risks
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- Point processes and queues. Martingale dynamics
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Hedging life insurance contracts in a Lévy process financial market
- Affine stochastic mortality
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Risk-minimizing hedging strategies for insurance payment processes