Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds

DOI10.1016/j.cam.2020.112829zbMath1437.91398OpenAlexW3010187069MaRDI QIDQ1987428

Şule Önsel Şahin, Selin Özen

Publication date: 15 April 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.112829

zbMATH Keywords

renewal processjump-diffusion processstochastic mortalitymortality riskscatastrophic bondsMerton model

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05) Jump processes on general state spaces (60J76)

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Uses Software

• Countr

Cites Work

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