The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
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Publication:495460
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Cites work
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Cited in
(13)- Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
- Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds
- Green nested simulation via likelihood ratio: applications to longevity risk management
- Pricing longevity derivatives via Fourier transforms
- Model-independent price bounds for catastrophic mortality bonds
- Stochastic Mortality Models and Pandemic Shocks
- Modeling volatility of disaster-affected populations: a non-homogeneous geometric-skew Brownian motion approach
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- Robust parameter estimation for the Lee-Carter family: a probabilistic principal component approach
- Bayesian mortality modelling with pandemics: a vanishing jump approach
- Estimating the Role of Uninsured in the Spread of COVID-19 via Geospatial Bayesian Models
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