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

DOI10.1007/S40819-021-01199-9zbMATH Open1499.91092OpenAlexW3215938862MaRDI QIDQ2114508FDOQ2114508

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

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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)

Cites Work

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• Fractional Pearson diffusions
• Dynamic asset pricing theory with uncertain time-horizon
• Analytical approach for the space-time nonlinear partial differential fractional equation
• Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
• Numerical solution of time-fractional Black-Scholes equation
• The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
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• The numerical strategy of tempered fractional derivative in European double barrier option

Cited In (1)

• Polynomial diffusion models for life insurance liabilities

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