Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing
Author:
Affiliation:
1. Pacific Life Re, London, United Kingdom
2. Pensions Institute, Cass Business School, City University of London, London, United Kingdom
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/10920277.2019.1649159
Reference76 articles.
1. The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case
2. Heath–Jarrow–Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
3. Understanding, modelling and managing longevity risk: key issues and main challenges
4. The Volatility of Mortality
Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Longevity hedge effectiveness using socioeconomic indices;Insurance: Mathematics and Economics;2024-01
2. Should Selection of the Optimum Stochastic Mortality Model Be Based on the Original or the Logarithmic Scale of the Mortality Rate?;Risks;2023-09-28
3. Longevity risk and capital markets: The 2019-20 update;Insurance: Mathematics and Economics;2021-07
4. A Bayesian Approach to Modeling and Projecting Cohort Effects;North American Actuarial Journal;2020-02-26
5. Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies;North American Actuarial Journal;2020-02-24
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3