A bidimensional approach to mortality risk
From MaRDI portal
Publication:882489
DOI10.1007/s10203-006-0061-5zbMath1160.91366OpenAlexW3121296625MaRDI QIDQ882489
Enrico Biffis, Pietro Millossovich
Publication date: 24 May 2007
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-006-0061-5
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (15)
Life tables in actuarial models: from the deterministic setting to a Bayesian approach ⋮ PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS ⋮ Statistical Estimation Techniques in Life and Disability Insurance—A Short Overview ⋮ COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Modelling mortality: A bayesian factor-augmented var (favar) approach ⋮ Mortality surface by means of continuous time cohort models ⋮ Stochastic mortality models: an infinite-dimensional approach ⋮ Mortality risk modeling: applications to insurance securitization ⋮ Assessing the cost of capital for longevity risk ⋮ HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS ⋮ MORTALITY FORECASTING WITH A SPATIALLY PENALIZED SMOOTHED VAR MODEL ⋮ Equilibrium recoveries in insurance markets with limited liability ⋮ Parameter estimation of a shifted Wiener sheet ⋮ Stochastic Mortality: The Impact on Target Capital
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Modeling and Forecasting U.S. Mortality
- Affine processes for dynamic mortality and actuarial valuations
- Nonlinear filtering equations for two-parameter semimartingales
- Mortality derivatives and the option to annuitise.
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
This page was built for publication: A bidimensional approach to mortality risk