Pricing extreme mortality risk in the wake of the COVID-19 pandemic
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Publication:2681451
DOI10.1016/j.insmatheco.2022.11.002MaRDI QIDQ2681451
Han Li, Zhongyi Yuan, Haibo Liu, Qi-he Tang
Publication date: 3 February 2023
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2022.11.002
pricing; affine jump-diffusion model; mortality-linked security; COVID-19; implied market price of risk; instantaneous correlation