Affine processes for dynamic mortality and actuarial valuations

DOI10.1016/J.INSMATHECO.2005.05.003MaRDI QIDQ817280zbMATH OpenOpenAlexFDO

Authors Enrico Biffis

Publication date 8 March 2006

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.05.003

zbMATH Keywords

affine jump-diffusiondoubly stochastic processesfair valuelongevity riskstochastic mortality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Valuation and hedging of life insurance liabilities with systematic mortality risk
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• Consistent dynamic affine mortality models for longevity risk applications

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Cited in

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