The role of the dependence between mortality and interest rates when pricing guaranteed annuity options

DOI10.1016/j.insmatheco.2016.09.010zbMath1371.91084OpenAlexW3123918234MaRDI QIDQ2374113

Martino Grasselli, Griselda Deelstra, Christopher Van Weverberg

Publication date: 14 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.09.010

zbMATH Keywords

dependencestochastic mortalityWishart processguaranteed annuity optionsaffine interest rate models

Mathematics Subject Classification ID

Related Items (11)

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