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

longevity riskstochastic mortalitydoubly stochastic processesaffine jump-diffusionfair value

Mathematics Subject Classification ID

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

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Cited in

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• The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
• Pricing extreme mortality risk in the wake of the COVID-19 pandemic
• Market pricing of longevity-linked securities
• A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies
• Mortality modelling with Lévy processes
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• Assessing the solvency of insurance portfolios via a continuous-time cohort model
• A recursive approach to mortality-linked derivative pricing
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• Assessing the cost of capital for longevity risk
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• Pricing of equity indexed annuity under fractional Brownian motion model
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• 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
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• A micro-level claim count model with overdispersion and reporting delays
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• 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
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• Addressing the life expectancy gap in pension policy
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• Consistent dynamic affine mortality models for longevity risk applications
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• Modelling stochastic mortality for dependent lives
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• 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
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• Longevity risk and capital markets: the 2019--20 update
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• Existence of optimal consumption strategies in markets with longevity risk

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