Stochastic modelling of mortality and financial markets

DOI10.1080/03461238.2012.724442zbMath1401.91093OpenAlexW3126086250MaRDI QIDQ4576865

Helena Aro, Teemu Pennanen

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2012.724442

zbMATH Keywords

stochastic modelingmarket riskmortality risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (3)

The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices ⋮ Systematic and Nonsystematic Mortality Risk in Pension Portfolios ⋮ Stochastic modeling of assets and liabilities with mortality risk

Cites Work

• Unnamed Item
• Modeling and Forecasting U.S. Mortality
• Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Lee-Carter mortality forecasting with age-specific enhancement.
• Understanding, modelling and managing longevity risk: key issues and main challenges
• Modelling and management of mortality risk: a review
• Measuring Basis Risk in Longevity Hedges
• An equilibrium characterization of the term structure

This page was built for publication: Stochastic modelling of mortality and financial markets