Modeling and approximated procedure life insurance bond by the stochastic mortality and short interest rate

DOI10.1007/S40819-021-01199-9MaRDI QIDQ2114508zbMATH OpenOpenAlexFDO

Authors Vida Ghanavatinegad, Yones Esmaeelzade Aghdam, A. Neisy

Publication date 15 March 2022

Published in International Journal of Applied and Computational Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40819-021-01199-9

zbMATH Keywords

Sharpe ratiocollocation methodlife insurancestochastic mortality rate

Mathematics Subject Classification ID

Actuarial mathematics (91G05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Portfolio theory (91G10)

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Cites work

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• scientific article; zbMATH DE number 7523973 (Why is no real title available?)
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• Analytical approach to linear fractional partial differential equations arising in fluid mechanics
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• Fractional Pearson diffusions
• Modeling and forecasting U.S. mortality. (With discussion)
• Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
• Numerical solution of time-fractional Black-Scholes equation
• On analytical solutions of the fractional differential equation with uncertainty: application to the Basset problem
• The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
• The numerical strategy of tempered fractional derivative in European double barrier option
• The pricing of options and corporate liabilities

Cited in

(1)

• Polynomial diffusion models for life insurance liabilities

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