Pricing longevity-linked derivatives using a stochastic mortality model
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Publication:5077955
DOI10.1080/03610926.2018.1563171OpenAlexW2914010685MaRDI QIDQ5077955FDOQ5077955
Authors: Yi Ge Wang, Nan Zhang, Zhuo Jin, Tin Long Ho 
Publication date: 20 May 2022
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2018.1563171
Cites Work
- Modeling and forecasting U.S. mortality. (With discussion)
- On stochastic mortality modeling
- Affine processes for dynamic mortality and actuarial valuations
- Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform
- Modeling and forecasting mortality rates
- Minimal entropy preserves the Lévy property: how and why
- Modelling and projecting mortality improvement rates using a cohort perspective
- Mortality-dependent financial risk measures
- Securitization of catastrophe mortality risks
Cited In (10)
- Pricing pension buy-outs under stochastic interest and mortality rates
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
- Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
- Statistical emulators for pricing and hedging longevity risk products
- Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions
- Securitization, structuring and pricing of longevity risk
- Volterra mortality model: actuarial valuation and risk management with long-range dependence
- A comparative study of pricing approaches for longevity instruments
- Modeling mortality and pricing life annuities with Lévy processes
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