Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios (Q938032)
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scientific article; zbMATH DE number 5312896
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| English | Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios |
scientific article; zbMATH DE number 5312896 |
Statements
Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios (English)
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18 August 2008
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term structure model
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no arbitrage
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martingale measure
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Hedging strategies
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marked point process
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jump-diffusion
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0.8191826343536377
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0.8070829510688782
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0.7919160723686218
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0.7855692505836487
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0.7780640125274658
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