Affine processes for dynamic mortality and actuarial valuations
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- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A theory of the term structure of interest rates
- Affine processes and applications in finance
- An equilibrium characterization of the term structure
- Convergence of discretized stochastic (interest rate) processes with stochastic drift term
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
- Doubly stochastic Poisson processes
- Mortality derivatives and the option to annuitise.
- On Cox processes and credit risky securities
- Point processes and queues. Martingale dynamics
- Post-'87 crash fears in the S\&P 500 futures option market
- Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Survival models in a dynamic context: a survey
- The fair value of guaranteed annuity options
- Time-inhomogeneous affine processes
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Uncertainty in mortality projections: an actuarial perspective
Cited in
(only showing first 100 items - show all)- A group regularisation approach for constructing generalised age-period-cohort mortality projection models
- Risk-minimization for life insurance liabilities with basis risk
- Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices
- Pricing of equity indexed annuity under fractional Brownian motion model
- The impact of longevity and investment risk on a portfolio of life insurance liabilities
- Correlated age-specific mortality model: an application to annuity portfolio management
- Solvency requirement in a unisex mortality model
- Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
- A cautionary note on pricing longevity index swaps
- Pricing European options on deferred annuities
- Mean reversion in stochastic mortality: why and how?
- A subordinated Markov model for stochastic mortality
- A micro-level claim count model with overdispersion and reporting delays
- Pricing longevity bond with affine-jump-diffusion multi-cohort mortality model
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis
- Mortality surface by means of continuous time cohort models
- Calibrating affine stochastic mortality models using term assurance premiums
- Random distribution kernels and three types of defaultable contingent payoffs
- Delta-gamma hedging of mortality and interest rate risk
- Managing longevity and disability risks in life annuities with long term care
- Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
- Addressing the life expectancy gap in pension policy
- Indifference pricing of pure endowments via BSDEs under partial information
- A comonotonicity-based valuation method for guaranteed annuity options
- Consistent dynamic affine mortality models for longevity risk applications
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Modelling stochastic mortality for dependent lives
- The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices
- Longevity Risk and Capital Markets: The 2017–2018 Update
- Understanding, modelling and managing longevity risk: key issues and main challenges
- A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
- Optimal strategies for target benefit pension plans with longevity risk in ambiguous environments
- Pricing critical illness insurance from prevalence rates: Gompertz versus Weibull
- Life tables in actuarial models: from the deterministic setting to a Bayesian approach
- EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
- Pricing of long dated equity-linked life insurance contracts
- An innovative design of flexible, bequest-enhanced life annuity with natural hedging
- Spatial patterns of mortality in the United States: a spatial filtering approach
- Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances
- Survival energy models for mortality prediction and future prospects
- Cohort and value-based multi-country longevity risk management
- Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
- Constructing dynamic life tables with a single-factor model
- Regime-switching pure jump processes and applications in the valuation of mortality-linked products
- Pricing longevity-linked derivatives using a stochastic mortality model
- The joint mortality of couples in continuous time
- Dynamic hedging of longevity risk: the effect of trading frequency
- The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates
- Regime-switching shot-noise processes and longevity bond pricing
- Longevity risk and capital markets: the 2019--20 update
- Computing survival probabilities based on stochastic differential models
- Existence of optimal consumption strategies in markets with longevity risk
- Price bounds of mortality-linked security in incomplete insurance market
- Selecting stochastic mortality models for the Italian population
- Continuous affine processes: transformations, Markov chains and life insurance
- Risk aggregation and stochastic claims reserving in disability insurance
- Valuation of life insurance products under stochastic interest rates
- On the robustness of longevity risk pricing
- Valuation of equity-indexed annuity under stochastic mortality and interest rate
- Pricing life insurance contracts with early exercise features
- Valuation of contingent claims with mortality and interest rate risks
- Uncertainty on survival probabilities and solvency capital requirement: application to long-term care insurance
- Valuation of general GMWB annuities in a low interest rate environment
- Stochastic mortality models: an infinite-dimensional approach
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
- Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time
- Mortality risk modeling: applications to insurance securitization
- On the optimal product mix in life insurance companies using conditional value at risk
- Securitization, structuring and pricing of longevity risk
- Pricing guaranteed annuity options in a linear-rational Wishart mortality model
- The survival probability of mortality intensity with jump-diffusion
- Affine models with path-dependence under parameter uncertainty and their application in finance
- Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk
- Longevity Risk and Capital Markets: The 2012–2013 Update
- Time-consistent actuarial valuations
- Fourier based methods for the management of complex life insurance products
- Reduced-form setting under model uncertainty with non-linear affine intensities
- Volterra mortality model: actuarial valuation and risk management with long-range dependence
- A bidimensional approach to mortality risk
- Irreversible reinsurance: a singular control approach
- Hedging pure endowments with mortality derivatives
- On systematic mortality risk and risk-minimization with survivor swaps
- Impact of outlier-adjusted Lee-Carter model on the valuation of life annuities
- Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models
- A stochastic model for mortality rate on italian data
- Stochastic mortality dynamics driven by mixed fractional Brownian motion
- Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models
- Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes
- Continuous-time multi-cohort mortality modelling with affine processes
- Lifetime asset allocation with idiosyncratic and systematic mortality risks
- Modeling and management of mortality risk: a review
- On the pricing of longevity-linked securities
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
- Editorial: Longevity risk and capital markets: the 2013--14 update
- Jump diffusion transition intensities in life insurance and disability annuity
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
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