Regime-switching pure jump processes and applications in the valuation of mortality-linked products-Reference-Cited by-同舟云学术

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Regime-switching pure jump processes and applications in the valuation of mortality-linked products

Published:2017-09-21 Issue:6 Volume:47 Page:1372-1391
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Dong Yinghui¹,Yuen Kam Chuen²,Wang Guojing³

Affiliation:

1. Department of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou, P. R. China

2. Department of Statistics and Actuarial Science, University of Hong Kong, Pokfulam Road, Hong Kong

3. Department of Mathematics and Center for Financial Engineering, Soochow University, Suzhou, P.R. China

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2017.1319483

Reference36 articles.

1. DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS

2. Hedging life insurance with pure endowments

3. Affine processes for dynamic mortality and actuarial valuations

4. Survivor Bonds: Helping to Hedge Mortality Risk

5. Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities

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