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Lee-Carter Goes Risk-Neutral · Study

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PreprintLee-Carter Goes Risk-Neutral

Enrico Biffis2005

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Preprintgreen2005

Lee-Carter Goes Risk-Neutral

Enrico Biffis · Michel M. Denuit

24 citations·0/0 files stored·SSRN Electronic Journal

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Insurance, Mortality, Demography, Risk Management Stochastic processes and financial applications Probability and Risk Models

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References

2005Stochastic Integration and Differential Equations 1993Dynamic Asset Pricing Theory.1998On cox processes and credit risky securities 2000The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications 2005Affine processes for dynamic mortality and actuarial valuations 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk 2004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts 2001Mortality derivatives and the option to annuitise

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2006Optimal strategies for pricing general insurance 2012Longevity bond pricing under stochastic interest rate and mortality with regime-switching 2007An analysis of disability - linked annuities

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Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations24

Files0 public / 0

ShelfInsurance, Mortality, Demography, Risk Management

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doi10.2139/ssrn.848304

openalex_workW1513173961

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