A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach (Q2812013)
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scientific article; zbMATH DE number 6591414
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| English | A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach |
scientific article; zbMATH DE number 6591414 |
Statements
A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach (English)
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10 June 2016
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change of numéraire
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endowment-risk-adjusted measure
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interest rate risk
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mortality risk
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annuity-contingent derivative
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0.8523879647254944
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0.8335758447647095
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0.805471658706665
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0.7889436483383179
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0.7840439677238464
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