Consistent dynamic affine mortality models for longevity risk applications
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Cites work
- scientific article; zbMATH DE number 5280146 (Why is no real title available?)
- scientific article; zbMATH DE number 1034048 (Why is no real title available?)
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Affine processes for dynamic mortality and actuarial valuations
- Affine stochastic mortality
- An arbitrage‐free generalized Nelson–Siegel term structure model
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Classes of interest rate models under the HJM framework
- Credit risk: Modelling, valuation and hedging
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
- Interest rate dynamics and consistent forward rate curves
- Modeling and forecasting U.S. mortality. (With discussion)
- Mortality derivatives and the option to annuitise.
- On Cox processes and credit risky securities
- On the pricing of longevity-linked securities
- Term structure modelling of defaultable bonds
- Valuation and hedging of life insurance liabilities with systematic mortality risk
Cited in
(28)- Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
- Lifetime asset allocation with idiosyncratic and systematic mortality risks
- Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
- Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time
- Spatial patterns of mortality in the United States: a spatial filtering approach
- Dynamic hedging of longevity risk: the effect of trading frequency
- Volterra mortality model: actuarial valuation and risk management with long-range dependence
- Cohort and value-based multi-country longevity risk management
- An innovative design of flexible, bequest-enhanced life annuity with natural hedging
- Longevity risk management and shareholder value for a life annuity business
- Dynamic bivariate mortality modelling
- Addressing the life expectancy gap in pension policy
- Calibrating affine stochastic mortality models using term assurance premiums
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- Affine processes for dynamic mortality and actuarial valuations
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- A continuous-time stochastic model for the mortality surface of multiple populations
- Affine stochastic mortality
- Stochastic mortality dynamics driven by mixed fractional Brownian motion
- Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models
- Fast maximum likelihood estimation of parameters for square root and Bessel processes
- scientific article; zbMATH DE number 6971094 (Why is no real title available?)
- Retirement spending and biological age
- Continuous-time multi-cohort mortality modelling with affine processes
- A comparative study of pricing approaches for longevity instruments
- Survival energy models for mortality prediction and future prospects
- Systematic mortality improvement trends and mortality heterogeneity: insights from individual-level HRS data
- Stochastic mortality model with respect to mixed fractional Poisson process: calibration and empirical analysis of long-range dependence in actuarial valuation
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