Price bounds of mortality-linked security in incomplete insurance market

DOI10.1016/j.insmatheco.2013.11.008zbMath1296.91157OpenAlexW2087680500MaRDI QIDQ743137

Yu-Lieh Huang, Sharon S. Yang, Hung-Wen Cheng, Jeffrey Tzuhao Tsai

Publication date: 22 September 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.11.008

zbMATH Keywords

mortality riskincomplete market pricingmortality bond valuationmortality-linked security

Mathematics Subject Classification ID

Related Items (2)

Model-independent price bounds for catastrophic mortality bonds ⋮ Pricing guaranteed annuity options in a linear-rational Wishart mortality model

Cites Work

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• THE PRICING OF MORTALITY-LINKED CONTINGENT CLAIMS: AN EQUILIBRIUM APPROACH

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