Longevity bond pricing under stochastic interest rate and mortality with regime-switching

DOI10.1016/J.INSMATHECO.2012.11.006MaRDI QIDQ2252285zbMATH OpenOpenAlexFDO

Authors Yang Shen, Tak Kuen Siu

Publication date 16 July 2014

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2012.11.006

zbMATH Keywords

exponential affine formlongevity bondregime switchingstochastic flowsstochastic interest ratestochastic mortality

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Mathematical geography and demography (91D20) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(25)

• Longevity risk and capital markets: the 2015--16 update
• Longevity risk and capital markets: the 2019--20 update
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• Regime-switching shot-noise processes and longevity bond pricing
• Pricing credit derivatives under a correlated regime-switching hazard processes model
• Exponential change of measure for general piecewise deterministic Markov processes
• Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
• A multivariate regime-switching mean reverting process and its application to the valuation of credit risk
• Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions
• The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
• Robust stability, stabilisation and H-infinity control for premium-reserve models in a Markovian regime switching discrete-time framework
• Lifetime asset allocation with idiosyncratic and systematic mortality risks
• Pricing pension buy-outs under stochastic interest and mortality rates
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• Editorial: Longevity risk and capital markets: the 2013--14 update
• Modelling longevity bonds: analysing the Swiss Re Kortis bond
• Longevity Risk and Capital Markets: The 2017–2018 Update
• Pricing an option-type longevity derivative under a regime-switching O-U stochastic mortality model with jumps
• Longevity Risk and Capital Markets: The 2012–2013 Update
• Pricing and hedging for correlation options with regime switching and common jump risk
• Pricing longevity bond with affine-jump-diffusion multi-cohort mortality model
• Optimal strategies for target benefit pension plans with longevity risk in ambiguous environments
• On the robustness of longevity risk pricing
• Applying Markov-switching Bayesian vector autoregression to an age-partitioned Lee-Carter mortality model
• Pricing a guaranteed annuity option under correlated and regime-switching risk factors

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