Pricing longevity bond with affine-jump-diffusion multi-cohort mortality model

DOI10.1016/j.cam.2024.115800zbMath1542.91351MaRDI QIDQ6567270

Xu Chen, Yuying Yang, Jingtong Xu

Publication date: 4 July 2024

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

measure transformationstochastic mortality intensitylongevity bondsaffine-jump diffusionmulti-cohort

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Actuarial mathematics (91G05) Jump processes on discrete state spaces (60J74)

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