Affine stochastic mortality

DOI10.1016/j.insmatheco.2005.06.013zbMath1103.60063OpenAlexW3124388706MaRDI QIDQ2507942

David F. Schrager

Publication date: 5 October 2006

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

Full work available at URL: https://pure.uva.nl/ws/files/1252684/96216_500fulltext.pdf

zbMATH Keywords

longevity riskaffine modelsannuitiesguaranteed annuity optionsmortality lawsKalman filter estimationGaussian Thiele modelmarket price of mortality riskmortality optionsvaluation of endowments

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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