Valuation of contingent claims with mortality and interest rate risks
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Publication:732668
DOI10.1016/j.mcm.2008.10.014zbMath1171.91349OpenAlexW1971242360MaRDI QIDQ732668
Publication date: 12 October 2009
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2008.10.014
Related Items (22)
The role of the dependence between mortality and interest rates when pricing guaranteed annuity options ⋮ Statistical emulators for pricing and hedging longevity risk products ⋮ Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes ⋮ OPTIMAL TIME-CONSISTENT PORTFOLIO AND CONTRIBUTION SELECTION FOR DEFINED BENEFIT PENSION SCHEMES UNDER MEAN–VARIANCE CRITERION ⋮ Pricing pension buy-outs under stochastic interest and mortality rates ⋮ Risk measures and behaviors for bonds under stochastic interest rate models ⋮ Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk ⋮ The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices ⋮ Pricing a guaranteed annuity option under correlated and regime-switching risk factors ⋮ Pricing guaranteed annuity options in a linear-rational Wishart mortality model ⋮ Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods ⋮ On the (in-)dependence between financial and actuarial risks ⋮ A comonotonicity-based valuation method for guaranteed annuity options ⋮ Pricing of equity indexed annuity under fractional Brownian motion model ⋮ A linear algebraic method for pricing temporary life annuities and insurance policies ⋮ Valuation of equity-indexed annuity under stochastic mortality and interest rate ⋮ Pricing of long dated equity-linked life insurance contracts ⋮ A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach ⋮ Annuity contract valuation under dependent risks ⋮ Hedging Longevity Risk When Interest Rates are Uncertain ⋮ An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions ⋮ Assessing the solvency of insurance portfolios via a continuous-time cohort model
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