Pricing longevity risk with the parametric bootstrap: a maximum entropy approach

DOI10.1016/j.insmatheco.2010.05.004zbMath1231.91441OpenAlexW2067611431MaRDI QIDQ661233

Johnny Siu-Hang Li

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.2010.05.004

zbMATH Keywords

Lee-Carter modelcohort effectsCairns-Blake-Dowd modelcanonical valuationmortality-linked securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Uses Software

• Human Mortality

Cites Work

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