Modeling the Forward Surface of Mortality

DOI10.1137/100818261zbMath1255.91443OpenAlexW2069792539MaRDI QIDQ4902229

Rüdiger Kiesel, Fred Espen Benth, Daniel J. Bauer

Publication date: 25 January 2013

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b759e54160d8cd6cfc33fe5767144185abd1abef

zbMATH Keywords

stochastic mortalityfinite-dimensional realizationtranslation semigroupsMusiela parametrizationHJM framework

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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