Annuity contract valuation under dependent risks

DOI10.1007/s13160-019-00366-2zbMath1443.91255OpenAlexW2944903851WikidataQ127872930 ScholiaQ127872930MaRDI QIDQ2300949

Rogemar S. Mamon, Yixing Zhao

Publication date: 28 February 2020

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

Full work available at URL: https://doi.org/10.1007/s13160-019-00366-2

zbMATH Keywords

mortalityforward measureLee-Carter modelHull-White modelcomonotonic boundnumériare

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05)

Related Items (2)

Bond pricing formulas for Markov-modulated affine term structure models ⋮ Valuing guaranteed minimum accumulation benefits by a change of numéraire approach

Cites Work

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