A comparative study of pricing approaches for longevity instruments
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Publication:1799642
DOI10.1016/J.INSMATHECO.2018.06.010zbMath1416.91200OpenAlexW2846575897WikidataQ129583475 ScholiaQ129583475MaRDI QIDQ1799642
Melvern Leung, Colin O'Hare, Man Chung Fung
Publication date: 19 October 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.06.010
incomplete marketMarkov chain Monte Carloparameter uncertaintystate-space modelBayesian inferencelongevity derivatives
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)
Related Items (8)
Socio-economic differentiation in experienced mortality modelling and its pricing implications ⋮ Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time ⋮ PRICING LONGEVITY-LINKED SECURITIES IN THE PRESENCE OF MORTALITY TREND CHANGES ⋮ Bayesian value-at-risk backtesting: the case of annuity pricing ⋮ A combined analysis of hedge effectiveness and capital efficiency in longevity hedging ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Market pricing of longevity-linked securities
Uses Software
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