The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts
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Recommendations
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- Hedging Equity-Linked Life Insurance Contracts
- Risk-minimization for life insurance liabilities
- Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
Cites work
- scientific article; zbMATH DE number 3653255 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- Affine processes for dynamic mortality and actuarial valuations
- Credit risk valuation. Methods, models, and applications.
- Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
- Intensity-based framework and penalty formulation of optimal stopping problems
- Modeling and forecasting U.S. mortality. (With discussion)
- Mortality derivatives and the option to annuitise.
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
- The fair value of guaranteed annuity options
- Valuation and hedging of life insurance liabilities with systematic mortality risk
Cited in
(17)- Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices
- Heterogeneous expectations and speculative behavior in insurance-linked securities
- Analytical pricing of the unit-linked endowment with guarantees and periodic premiums
- Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Unit-linked life insurance policies: optimal hedging in partially observable market models
- Stress scenario generation for solvency and risk management
- Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
- Application of data clustering and machine learning in variable annuity valuation
- Reduced-form framework under model uncertainty
- Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
- SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Modeling partial Greeks of variable annuities with dependence
- Polynomial diffusion models for life insurance liabilities
- Early default risk and surrender risk: impacts on participating life insurance policies
- Variable annuities in a Lévy-based hybrid model with surrender risk
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