Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
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Publication:938032
DOI10.1016/J.INSMATHECO.2007.09.008zbMATH Open1140.91377OpenAlexW1980960272MaRDI QIDQ938032FDOQ938032
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
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Cites Work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Hedging life insurance contracts in a Lévy process financial market
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- Risk-minimizing hedging strategies for insurance payment processes
- Affine processes for dynamic mortality and actuarial valuations
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- Point processes and queues. Martingale dynamics
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Affine stochastic mortality
- Management of a pension fund under mortality and financial risks
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
Cited In (20)
- Risk-minimization for life insurance liabilities with basis risk
- Delta-gamma hedging of mortality and interest rate risk
- Consistent dynamic affine mortality models for longevity risk applications
- Longevity Risk and Capital Markets: The 2017–2018 Update
- On the effectiveness of natural hedging for insurance companies and pension plans
- Forward mortality rates in discrete time. I: Calibration and securities pricing
- Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
- Regime-switching shot-noise processes and longevity bond pricing
- Longevity risk and capital markets: the 2019--20 update
- On the robustness of longevity risk pricing
- Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans
- Stochastic mortality models: an infinite-dimensional approach
- Longevity Risk and Capital Markets: The 2012–2013 Update
- The role of longevity bonds in optimal portfolios
- Modelling longevity bonds: analysing the Swiss Re Kortis bond
- Evaluating hybrid products: the interplay between financial and insurance markets
- Editorial: Longevity risk and capital markets: the 2013--14 update
- Pricing and hedging of longevity basis risk through securitisation
- Do actuaries believe in longevity deceleration?
- Longevity risk and capital markets: the 2015--16 update
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