Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios

DOI10.1016/J.INSMATHECO.2007.09.008MaRDI QIDQ938032zbMATH OpenOpenAlexFDO

Authors Jérôme Barbarin

Publication date 18 August 2008

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2007.09.008

zbMATH Keywords

marked point processjump-diffusionmartingale measureno arbitrageHedging strategiesterm structure model

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 4085365 (Why is no real title available?)
• Affine processes for dynamic mortality and actuarial valuations
• Affine stochastic mortality
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• Hedging life insurance contracts in a Lévy process financial market
• Management of a pension fund under mortality and financial risks
• Point processes and queues. Martingale dynamics
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Risk-minimizing hedging strategies for insurance payment processes
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Valuation and hedging of life insurance liabilities with systematic mortality risk

Cited in

(20)

• Longevity Risk and Capital Markets: The 2017–2018 Update
• Stochastic mortality models: an infinite-dimensional approach
• Editorial: Longevity risk and capital markets: the 2013--14 update
• Regime-switching shot-noise processes and longevity bond pricing
• The role of longevity bonds in optimal portfolios
• Do actuaries believe in longevity deceleration?
• Longevity risk and capital markets: the 2015--16 update
• On the robustness of longevity risk pricing
• Longevity risk and capital markets: the 2019--20 update
• Pricing and hedging of longevity basis risk through securitisation
• Modelling longevity bonds: analysing the Swiss Re Kortis bond
• Delta-gamma hedging of mortality and interest rate risk
• Longevity Risk and Capital Markets: The 2012–2013 Update
• Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans
• Evaluating hybrid products: the interplay between financial and insurance markets
• Forward mortality rates in discrete time. I: Calibration and securities pricing
• Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
• Risk-minimization for life insurance liabilities with basis risk
• On the effectiveness of natural hedging for insurance companies and pension plans
• Consistent dynamic affine mortality models for longevity risk applications

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