Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform
DOI10.1080/10920277.2013.873708zbMATH Open1412.91040OpenAlexW2034411350MaRDI QIDQ5742657FDOQ5742657
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
Esscher transformationLee-Carter mortality modelLévy stochastic processlongevity derivatives pricing
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cited In (14)
- 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
- A strategy for hedging risks associated with period and cohort effects using q-forwards
- Modeling mortality and pricing life annuities with Lévy processes
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