Polynomial diffusion models for life insurance liabilities
From MaRDI portal
Publication:2374102
DOI10.1016/j.insmatheco.2016.08.008zbMath1371.91081arXiv1602.07910OpenAlexW2397789598MaRDI QIDQ2374102
Francesca Biagini, Yinglin Zhang
Publication date: 14 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1602.07910
polynomial diffusionbenchmark approachstochastic mortality intensitybenchmarked risk-minimizationlife insurance liability
Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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