Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time-Reference-Cited by-同舟云学术

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Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time

Published:2021-06-18 Issue: Volume: Page:
ISSN:2190-9733
Container-title:European Actuarial Journal
language:en
Short-container-title:Eur. Actuar. J.

Author:

Jevtić Petar,Kwak Minsuk,Pirvu Traian A.

Funder

Securitization, Pricing, and Management of Longevity Risks and Derivatives’

Hankuk University of Foreign Studies

National Research Foundation of Korea

NSERC

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s13385-021-00287-w.pdf

Reference37 articles.

1. Ang A, Maddaloni A (2005) Do demographic changes affect risk premiums? Evidence from international data. J Bus 78(1):341–380. https://doi.org/10.1086/426528

2. Babcock BA, Kwan CE, Eli F (1993) Risk and probability premiums for CARA utility functions. J Agric Resour Econ 18(1):17–24

3. Bauer D, Börger M, Ruß J (2010) On the pricing of longevity-linked securities. Insurance: Math Econ 46(1):139–149

4. Biffis E (2005) Affine processes for dynamic mortality and actuarial valuations. Insurance: Math Econ 37(3):443–468

5. Blackburn C, Sherris M (2013) Consistent dynamic affine mortality models for longevity risk applications. Insurance: Math Econ 53(1):64–73

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