Mean reversion in stochastic mortality: why and how?
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Publication:2219628
DOI10.1007/S13385-020-00237-YzbMATH Open1455.91231OpenAlexW3038933743MaRDI QIDQ2219628FDOQ2219628
Authors: Fadoua Zeddouk, Pierre Devolder 
Publication date: 20 January 2021
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://dial.uclouvain.be/pr/boreal/fr/object/boreal%3A219343/datastream/PDF_01/view
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Cites Work
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- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Affine processes for dynamic mortality and actuarial valuations
- An Intertemporal General Equilibrium Model of Asset Prices
- On Distributions of Certain Wiener Functionals
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Mortality derivatives and the option to annuitise.
- Positivity of solution of nonhomogeneous stochastic differential equation with non-Lipschitz diffusion
- Improving the forecast of longevity by combining models
Cited In (11)
- Fair valuations of insurance policies under multiple risk factors: a flexible lattice approach
- Longevity risk and capital markets: the 2019--20 update
- Affine models with path-dependence under parameter uncertainty and their application in finance
- Between DB and DC: optimal hybrid PAYG pension schemes
- Mortality modeling and regression with matrix distributions
- Hedging longevity risk in defined contribution pension schemes
- Pricing and hedging of longevity basis risk through securitisation
- A calendar year mortality model in continuous time
- Pension funds with longevity risk: an optimal portfolio insurance approach
- Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products
- Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates
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