Consistent dynamic affine mortality models for longevity risk applications
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Cites work
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Cited in
(31)- Retirement spending and biological age
- A comparative study of pricing approaches for longevity instruments
- Addressing the life expectancy gap in pension policy
- Dynamic bivariate mortality modelling
- Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time
- Stochastic mortality dynamics driven by mixed fractional Brownian motion
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- Affine stochastic mortality
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
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- Fast maximum likelihood estimation of parameters for square root and Bessel processes
- Longevity risk management and shareholder value for a life annuity business
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- An innovative design of flexible, bequest-enhanced life annuity with natural hedging
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- Dynamic hedging of longevity risk: the effect of trading frequency
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- Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models
- Stochastic mortality model with respect to mixed fractional Poisson process: calibration and empirical analysis of long-range dependence in actuarial valuation
- Mortality modeling via vitality: model constructions and actuarial applications
- Fairness and risk sharing in integrated LRD-tontine schemes under Volterra mortality risk
- Optimal income drawdown and investment with longevity basis risk
- Affine processes for dynamic mortality and actuarial valuations
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