Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing

DOI10.1080/10920277.2019.1649159zbMath1461.91246OpenAlexW3008863077MaRDI QIDQ4987112

David Blake, Andrew Hunt

Publication date: 28 April 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/26075/9/Forward%20Mortality%20Rates%20in%20Discrete%20Time%20I.pdf

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Related Items (2)

Longevity hedge effectiveness using socioeconomic indices ⋮ Longevity risk and capital markets: the 2019--20 update

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