Modeling the forward surface of mortality

DOI10.1137/100818261MaRDI QIDQ4902229zbMATH OpenOpenAlexFDO

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

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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Cited in

(19)

• On the forward rate concept in multi-state life insurance
• Stochastic mortality models: an infinite-dimensional approach
• Editorial: Longevity risk and capital markets: the 2013--14 update
• Dynamic hedging of longevity risk: the effect of trading frequency
• Mortality surface by means of continuous time cohort models
• Testing for a unit root in Lee-Carter mortality model
• Modelling mortality by continuous benefit amount
• Forward mortality and other vital rates - are they the way forward?
• Dynamic bivariate mortality modelling
• Forward mortality rates in discrete time. I: Calibration and securities pricing
• A cautionary note on natural hedging of longevity risk
• Risk analysis of annuity conversion options in a stochastic mortality environment
• Forward transition rates
• Longevity hedge effectiveness: a decomposition
• Statistical emulators for pricing and hedging longevity risk products
• Survival energy models for mortality prediction and future prospects
• Why does a human die? A structural approach to cohort-wise mortality prediction under survival energy hypothesis
• Modeling the risk in mortality projections
• Consistent dynamic affine mortality models for longevity risk applications

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