Securitization, structuring and pricing of longevity risk
From MaRDI portal
Publication:659203
DOI10.1016/j.insmatheco.2009.09.014zbMath1231.91251MaRDI QIDQ659203
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.09.014
91G20: Derivative securities (option pricing, hedging, etc.)
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Uses Software
Cites Work
- Unnamed Item
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- Affine processes for dynamic mortality and actuarial valuations
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- A Universal Framework for Pricing Financial and Insurance Risks