Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios

DOI10.1016/j.insmatheco.2007.09.008zbMath1140.91377OpenAlexW1980960272MaRDI QIDQ938032

Jérôme Barbarin

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

zbMATH Keywords

no arbitragemarked point processmartingale measureterm structure modeljump-diffusionHedging strategies

Mathematics Subject Classification ID

Related Items (17)

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Cites Work

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• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Risk-minimizing hedging strategies for insurance payment processes

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