A recursive approach to mortality-linked derivative pricing

DOI10.1016/J.INSMATHECO.2011.03.003MaRDI QIDQ634010zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

diffusion processtransition density functionFeynman-Kac integralmortality-linked derivative

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Laplace transform (44A10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical methods for integral transforms (65R10)

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Cites work

• A note on the connection between the Esscher-Girsanov transform and the Wang transform
• A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
• Actuarial risk measures for financial derivative pricing
• Affine processes for dynamic mortality and actuarial valuations
• Closed-form approximations for diffusion densities: A path integral approach.
• Fitting combinations of exponentials to probability distributions
• Lee-Carter mortality forecasting with age-specific enhancement.
• Modeling and forecasting U.S. mortality. (With discussion)
• Mortality derivatives and the option to annuitise.
• On the Applicability of the Wang Transform for Pricing Financial Risks
• Path integrals for potential problems with δ-function perturbation
• Stochastic life annuities
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(11)

• Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
• Longevity Risk and Capital Markets: The 2017–2018 Update
• Editorial: Longevity risk and capital markets: the 2013--14 update
• Longevity risk and capital markets: the 2015--16 update
• Modeling mortality and pricing life annuities with Lévy processes
• Longevity risk and capital markets: the 2019--20 update
• Longevity Risk and Capital Markets: The 2012–2013 Update
• Pricing formulae for derivatives in insurance using Malliavin calculus
• Moments of renewal shot-noise processes and their applications
• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• Model-independent price bounds for catastrophic mortality bonds

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