Polynomial diffusion models for life insurance liabilities

DOI10.1016/j.insmatheco.2016.08.008zbMath1371.91081arXiv1602.07910OpenAlexW2397789598MaRDI QIDQ2374102

Francesca Biagini, Yinglin Zhang

Publication date: 14 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.07910

zbMATH Keywords

polynomial diffusionbenchmark approachstochastic mortality intensitybenchmarked risk-minimizationlife insurance liability

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Polynomial jump-diffusions on the unit simplex, Extended reduced-form framework for non-life insurance, Matrix calculations for moments of Markov processes, Polynomial Jump-Diffusion Models, A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period, Markov cubature rules for polynomial processes, Polynomial processes in stochastic portfolio theory, Infinite-dimensional polynomial processes, Reduced-form framework under model uncertainty

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