THE PRICING OF MORTALITY-LINKED CONTINGENT CLAIMS: AN EQUILIBRIUM APPROACH

DOI10.1017/ASB.2013.3zbMath1309.91143OpenAlexW2008650956MaRDI QIDQ5398346

Larry Y. Tzeng, Jeffrey Tzuhao Tsai

Publication date: 27 February 2014

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/e386374187ee78f4484cb33627cfb1a4a9c429e8

zbMATH Keywords

longevity riskmortality-linked security valuationtransform normal distribution

Mathematics Subject Classification ID

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

Related Items (3)

Model-independent price bounds for catastrophic mortality bonds ⋮ VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD ⋮ Price bounds of mortality-linked security in incomplete insurance market

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
• A Universal Framework for Pricing Financial and Insurance Risks
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION

This page was built for publication: THE PRICING OF MORTALITY-LINKED CONTINGENT CLAIMS: AN EQUILIBRIUM APPROACH