Pricing longevity-linked derivatives using a stochastic mortality model
From MaRDI portal
Publication:5077955
Cites work
- Affine processes for dynamic mortality and actuarial valuations
- Minimal entropy preserves the Lévy property: how and why
- Modeling and forecasting U.S. mortality. (With discussion)
- Modeling and forecasting mortality rates
- Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform
- Modelling and projecting mortality improvement rates using a cohort perspective
- Mortality-dependent financial risk measures
- On stochastic mortality modeling
- 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
This page was built for publication: Pricing longevity-linked derivatives using a stochastic mortality model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5077955)
