Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes

DOI10.1080/03610926.2019.1589514OpenAlexW2990541763MaRDI QIDQ5077430

Jie Zhang, Peng Li, Qian Zhao

Publication date: 18 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1589514

zbMATH Keywords

Lévy processstochastic interest ratestochastic mortality

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Valuation of equity-indexed annuity under stochastic mortality and interest rate
• Valuation of contingent claims with mortality and interest rate risks
• Affine processes for dynamic mortality and actuarial valuations
• Mortality modelling with Lévy processes
• Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Affine stochastic mortality
• Term Structure Models Driven by General Levy Processes
• On the first passage time distribution of an Ornstein–Uhlenbeck process
• The fair value of guaranteed annuity options
• Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
• Financial Modelling with Jump Processes
• Nonparametric Pricing of Interest Rate Derivative Securities
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates

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