A recursive approach to mortality-linked derivative pricing

DOI10.1016/J.INSMATHECO.2011.03.003zbMath1218.91156OpenAlexW2058770011MaRDI QIDQ634010

Zhaoning Shang, Jan Dhaene, Marc J. Goovaerts

Publication date: 2 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.03.003

zbMATH Keywords

diffusion processtransition density functionFeynman-Kac integralmortality-linked derivative

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Numerical methods for integral transforms (65R10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (9)

Moments of renewal shot-noise processes and their applications ⋮ Model-independent price bounds for catastrophic mortality bonds ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Valuing equity-linked death benefits and other contingent options: a discounted density approach ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update

Cites Work

• Modeling and Forecasting U.S. Mortality
• A note on the connection between the Esscher-Girsanov transform and the Wang transform
• Affine processes for dynamic mortality and actuarial valuations
• Actuarial risk measures for financial derivative pricing
• Mortality derivatives and the option to annuitise.
• Lee-Carter mortality forecasting with age-specific enhancement.
• Closed-form approximations for diffusion densities: A path integral approach.
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Path integrals for potential problems with δ-function perturbation
• On the Applicability of the Wang Transform for Pricing Financial Risks
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Stochastic Life Annuities
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• Fitting combinations of exponentials to probability distributions
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications

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