Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform

DOI10.1080/10920277.2013.873708MaRDI QIDQ5742657zbMATH OpenOpenAlexFDO

Authors Shuo-Li Chuang, Patrick L. Brockett

Publication date 15 May 2019

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2013.873708

zbMATH Keywords

Esscher transformationLee-Carter mortality modelLévy stochastic processlongevity derivatives pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 1306459 (Why is no real title available?)
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
• Hyperbolic distributions in finance
• Lévy Processes and Stochastic Calculus
• Modeling and forecasting U.S. mortality. (With discussion)
• Modeling and forecasting mortality rates
• Mortality derivatives and the option to annuitise.
• Mortality modelling with Lévy processes
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On continuity properties for option prices in exponential Lévy models
• The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
• The normal inverse gaussian lévy process: simulation and approximation

Cited in

(15)

• Longevity Risk and Capital Markets: The 2017–2018 Update
• Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
• Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
• Pricing longevity-linked derivatives using a stochastic mortality model
• Statistical emulators for pricing and hedging longevity risk products
• Longevity risk and capital markets: the 2019--20 update
• Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions
• Volterra mortality model: actuarial valuation and risk management with long-range dependence
• Editorial: Longevity risk and capital markets: the 2013--14 update
• The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
• Longevity risk and capital markets: the 2015--16 update
• Modeling and pricing longevity derivatives using Skellam distribution
• Pricing longevity derivatives via Fourier transforms
• Modeling mortality and pricing life annuities with Lévy processes
• A strategy for hedging risks associated with period and cohort effects using q-forwards

Describes a project that uses

Uses Software

• LifeMetrics

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