Pricing pension buy-outs under stochastic interest and mortality rates
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Publication:4585941
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Cites work
- scientific article; zbMATH DE number 1746020 (Why is no real title available?)
- A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
- A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
- A theory of the term structure of interest rates
- An Introduction to Computational Finance
- An equilibrium characterization of the term structure
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Modeling and forecasting U.S. mortality. (With discussion)
- On the (in-)dependence between financial and actuarial risks
- Pricing a guaranteed annuity option under correlated and regime-switching risk factors
- Stochastic mortality under measure changes
- The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
- Three ways to solve for bond prices in the Vasiček model
- Valuation of contingent claims with mortality and interest rate risks
Cited in
(5)- The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices
- A COVID-19 stress test for life insurance: insights into the effectiveness of different risk mitigation strategies
- Pension risk management with funding and buyout options
- Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates
- Pricing pension plans under jump-diffusion models for the salary
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