Modeling the forward surface of mortality

DOI10.1137/100818261zbMATH Open1255.91443OpenAlexW2069792539MaRDI QIDQ4902229FDOQ4902229

Authors: Fred Espen Benth, Rüdiger Kiesel, Daniel Bauer 

Publication date: 25 January 2013

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b759e54160d8cd6cfc33fe5767144185abd1abef

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zbMATH Keywords

stochastic mortalityfinite-dimensional realizationtranslation semigroupsMusiela parametrizationHJM framework

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)

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• A cautionary note on natural hedging of longevity risk
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• Forward mortality rates in discrete time. I: Calibration and securities pricing
• Statistical emulators for pricing and hedging longevity risk products
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