Valuation of contingent claims with mortality and interest rate risks

DOI10.1016/J.MCM.2008.10.014MaRDI QIDQ732668zbMATH OpenOpenAlexFDO

Authors Luka Jalen, Rogemar Mamon

Publication date 12 October 2009

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2008.10.014

zbMATH Keywords

mortalityBayes' theoremstochastic modelsdeath and survival benefitsforward measure

Mathematics Subject Classification ID

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Cited in

(29)

• A COVID-19 stress test for life insurance: insights into the effectiveness of different risk mitigation strategies
• An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions
• Hedging Longevity Risk When Interest Rates are Uncertain
• scientific article; zbMATH DE number 5283397 (Why is no real title available?)
• Pricing a guaranteed annuity option under correlated and regime-switching risk factors
• Valuation of equity-indexed annuity under stochastic mortality and interest rate
• The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices
• Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates
• A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
• Pricing of equity indexed annuity under fractional Brownian motion model
• Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes
• Market Value of Liabilities Mortality Risk
• Assessing the solvency of insurance portfolios via a continuous-time cohort model
• The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
• Pricing guaranteed annuity options in a linear-rational Wishart mortality model
• A linear algebraic method for pricing temporary life annuities and insurance policies
• Statistical emulators for pricing and hedging longevity risk products
• Optimal time-consistent portfolio and contribution selection for defined benefit pension schemes under mean-variance criterion
• Pricing of long dated equity-linked life insurance contracts
• Annuity contract valuation under dependent risks
• Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk
• Dependent interest and transition rates in life insurance
• Pricing pension buy-outs under stochastic interest and mortality rates
• Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods
• Valuation of life insurance products under stochastic interest rates
• On the (in-)dependence between financial and actuarial risks
• Risk measures and behaviors for bonds under stochastic interest rate models
• Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products
• A comonotonicity-based valuation method for guaranteed annuity options

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