Calibrating affine stochastic mortality models using term assurance premiums
DOI10.1016/J.INSMATHECO.2011.01.015zbMATH Open1218.91093OpenAlexW2037883810MaRDI QIDQ2276259FDOQ2276259
Authors: Vincenzo Russo, Rosella Giacometti, Sergio Ortobelli, Svetlozar T. Rachev, Frank J. Fabozzi 
Publication date: 1 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.01.015
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bootstrappingcalibrationmortality riskCox-Ingersoll-Ross modelVasicek modelterm assuranceaffine stochastic modelsjump-extended Vasicek modelstochastic force of mortality
Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
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Cited In (21)
- Pricing longevity bond with affine-jump-diffusion multi-cohort mortality model
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- Title not available (Why is that?)
- Affine stochastic mortality
- Longevity Risk and Capital Markets: The 2017–2018 Update
- A proposition of generalized stochastic Milevsky–Promislov mortality models
- Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances
- Constructing dynamic life tables with a single-factor model
- Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing
- Longevity risk and capital markets: the 2019--20 update
- Dynamic bivariate mortality modelling
- A Three-Factor Model for Mortality Modeling
- Affine models with path-dependence under parameter uncertainty and their application in finance
- Longevity Risk and Capital Markets: The 2012–2013 Update
- Hedging longevity risk in defined contribution pension schemes
- Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- Editorial: Longevity risk and capital markets: the 2013--14 update
- Longevity risk and capital markets: the 2015--16 update
- Pension funds with longevity risk: an optimal portfolio insurance approach
- Intensity-based framework for surrender modeling in life insurance
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