Longevity bond pricing under the threshold CIR model-Reference-Cited by-同舟云学术

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Longevity bond pricing under the threshold CIR model

Published:2015-11 Issue: Volume:15 Page:195-207
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Dong Fangyuan,Wong Hoi Ying^ORCID

Funder

CUHK

Publisher

Elsevier BV

Subject

Finance

Reference22 articles.

1. Term structure of interest rates with regime shifts;Bansal;J. Finance,2002

2. On the pricing of longevity-linked securities;Bauer;Insur.: Math. Econ.,2010

3. Sharing longevity risk: why governments should issue longevity bonds;Blake;N. Am. Actuar. J.,2014

4. Longevity bonds: financial engineering, valuation and hedging;Blake;J. Risk Insur.,2006

5. Option pricing with threshold mean reversion;Chi,2015

Cited by 3 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. Approximate maximum likelihood estimation of a threshold diffusion process;Computational Statistics & Data Analysis;2020-02

2. Variance swaps under the threshold Ornstein-Uhlenbeck model;Applied Stochastic Models in Business and Industry;2017-05-05

3. On the effects of changing mortality patterns on investment, labour and consumption under uncertainty;Insurance: Mathematics and Economics;2017-03

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