A new option for mortality–interest rates-Reference-Cited by-同舟云学术

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A new option for mortality–interest rates

Published:2022-12-13 Issue:2 Volume:43 Page:273-293
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Lin Tzuling¹^ORCID,Tsai Cary Chi‐Liang²

Affiliation:

1. Department of Finance National Chung Cheng University Minhsiung Taiwan

2. Department of Statistics and Actuarial Science Simon Fraser University Burnaby British Columbia Canada

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22390

Reference28 articles.

1. The Cost of Counterparty Risk and Collateralization in Longevity Swaps

2. A Theory of the Term Structure of Interest Rates

3. Options on normal underlyings with an application to the pricing of survivor swaptions

4. Fetiveau C. &Jia C.(2014).Longevity risk hedging with population based index solution: A study of basis risk based on England & Wales population (Technical Report). Deutsche Bank.

5. Selection Effects in the United Kingdom Individual Annuities Market

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