Mortality derivatives and the option to annuitise.

DOI10.1016/S0167-6687(01)00093-2zbMath1074.62530OpenAlexW3123046357MaRDI QIDQ1413287

Moshe Arye Milevsky, S. David Promislow

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(01)00093-2

zbMATH Keywords

Hazard ratesLongevity riskAnnuityFinancial options

Mathematics Subject Classification ID

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Cites Work

• Mortality and aging in a heterogeneous population: A stochastic process model with observed and unobserved variables
• A random-walk model of human mortality and aging
• A Theory of the Term Structure of Interest Rates
• Pricing Interest-Rate-Derivative Securities
• Forecasting Changes in Mortality
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