Delta–Gamma hedging of mortality and interest rate risk
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Reference25 articles.
1. Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios;Barbarin;Insurance: Mathematics and Economics,2008
2. Credit Risk Modelling;Bielecki,2008
3. Affine processes for dynamic mortality and actuarial valuations;Biffis;Insurance: Mathematics and Economics,2005
4. Longevity risk and capital markets: the 2008–2009 update;Blake;Insurance: Mathematics and Economics,2010
5. Brémaud, P., 1981. Point Processes and Queues. Martingale Dynamics. Springer Series in Statistics, New York, NY.
Cited by 47 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. Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation;Insurance: Mathematics and Economics;2024-11
2. A Unified Framework for Insurance Demand and Mortality Immunization;North American Actuarial Journal;2023-07-26
3. Hedging longevity risk in defined contribution pension schemes;Computational Management Science;2023-03-02
4. Stochastic mortality dynamics driven by mixed fractional Brownian motion;Insurance: Mathematics and Economics;2022-09
5. Pricing equity-linked life insurance contracts with multiple risk factors by neural networks;Journal of Computational and Applied Mathematics;2022-04
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