Pricing extreme mortality risk in the wake of the COVID-19 pandemic

DOI10.1016/j.insmatheco.2022.11.002OpenAlexW4309630090MaRDI QIDQ2681451

Haibo Liu, Zhongyi Yuan, Han Li, Qi-he Tang

Publication date: 3 February 2023

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2022.11.002

zbMATH Keywords

pricingaffine jump-diffusion modelmortality-linked securityCOVID-19implied market price of riskinstantaneous correlation

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Jump processes on discrete state spaces (60J74)

Related Items

Pricing guaranteed annuity options in a linear-rational Wishart mortality model

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