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

DOI10.1016/j.insmatheco.2007.09.008zbMath1140.91377MaRDI QIDQ938032

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

no arbitrage; marked point process; martingale measure; term structure model; jump-diffusion; Hedging strategies

Mathematics Subject Classification ID

Cites Work

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