Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
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Publication:938032
DOI10.1016/j.insmatheco.2007.09.008zbMath1140.91377OpenAlexW1980960272MaRDI QIDQ938032
Publication date: 18 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.09.008
no arbitragemarked point processmartingale measureterm structure modeljump-diffusionHedging strategies
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