Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
type: Item
instance of: scholarly article
title: Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
zbMATH Open document ID: 1140.91377
author: Jérôme Barbarin
published in: Insurance Mathematics \& Economics
publication date: 2008-08-18T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5312896
zbMATH Keywords: term structure model
zbMATH Keywords: no arbitrage
zbMATH Keywords: martingale measure
zbMATH Keywords: Hedging strategies
zbMATH Keywords: marked point process
zbMATH Keywords: jump-diffusion
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2007.09.008
OpenAlex ID: W1980960272
cites work: Contingent claims valuation when the security price is a combination of an Itō process and a random point process
cites work: Affine processes for dynamic mortality and actuarial valuations
cites work: Point processes and queues. Martingale dynamics
cites work: Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
cites work: Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
cites work: Valuation and hedging of life insurance liabilities with systematic mortality risk
cites work: Q3815091
cites work: Management of a pension fund under mortality and financial risks
cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
cites work: Risk-minimizing hedging strategies for insurance payment processes
cites work: Hedging life insurance contracts in a Lévy process financial market
cites work: Affine stochastic mortality
DOI: 10.1016/J.INSMATHECO.2007.09.008
description: scientific article; zbMATH DE number 5312896