Longevity bond premiums: the extreme value approach and risk cubic pricing

DOI10.1016/J.INSMATHECO.2009.09.007zbMath1231.91427OpenAlexW3123724546MaRDI QIDQ659198

J. David Cummins, Hua Chen

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.09.007

zbMATH Keywords

extreme value theorysecuritizationlongevity riskbond spreads

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (16)

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