A recursive approach to mortality-linked derivative pricing
DOI10.1016/J.INSMATHECO.2011.03.003zbMATH Open1218.91156OpenAlexW2058770011MaRDI QIDQ634010FDOQ634010
Authors: Zhaoning Shang, J. Dhaene, Marc J. Goovaerts 
Publication date: 2 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.03.003
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Cites Work
- Modeling and forecasting U.S. mortality. (With discussion)
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Affine processes for dynamic mortality and actuarial valuations
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- Actuarial risk measures for financial derivative pricing
- Stochastic life annuities
- Fitting combinations of exponentials to probability distributions
- Mortality derivatives and the option to annuitise.
- Lee-Carter mortality forecasting with age-specific enhancement.
- The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
- Path integrals for potential problems with δ-function perturbation
- On the Applicability of the Wang Transform for Pricing Financial Risks
- Closed-form approximations for diffusion densities: A path integral approach.
- A note on the connection between the Esscher-Girsanov transform and the Wang transform
Cited In (11)
- Longevity Risk and Capital Markets: The 2017–2018 Update
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Longevity risk and capital markets: the 2019--20 update
- Longevity Risk and Capital Markets: The 2012–2013 Update
- Model-independent price bounds for catastrophic mortality bonds
- Editorial: Longevity risk and capital markets: the 2013--14 update
- Pricing formulae for derivatives in insurance using Malliavin calculus
- Longevity risk and capital markets: the 2015--16 update
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Moments of renewal shot-noise processes and their applications
- Modeling mortality and pricing life annuities with Lévy processes
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