Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform

DOI10.1080/10920277.2013.873708zbMath1412.91040OpenAlexW2034411350MaRDI QIDQ5742657

Shuo-Li Chuang, Patrick L. Brockett

Publication date: 15 May 2019

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

Full work available at URL: https://doi.org/10.1080/10920277.2013.873708

zbMATH Keywords

Esscher transformationLee-Carter mortality modelLévy stochastic processlongevity derivatives pricing

Mathematics Subject Classification ID

Related Items (9)

Pricing longevity-linked derivatives using a stochastic mortality model ⋮ Volterra mortality model: actuarial valuation and risk management with long-range dependence ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ A strategy for hedging risks associated with period and cohort effects using q-forwards ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds ⋮ Modeling and pricing longevity derivatives using Skellam distribution ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update

Uses Software

• LifeMetrics

Cites Work

• Unnamed Item
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• On Continuity Properties for Option Prices in Exponential Lévy Models
• Lévy Processes and Stochastic Calculus
• The normal inverse gaussian lévy process: simulation and approximation
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models

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