A recursive approach to mortality-linked derivative pricing

DOI10.1016/j.insmatheco.2011.03.003zbMath1218.91156MaRDI QIDQ634010

Zhaoning Shang, Jan 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 process; transition density function; Feynman-Kac integral; mortality-linked derivative

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

44A10: Laplace transform

65R10: Numerical methods for integral transforms

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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