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Lee-Carter Goes Risk-Neutral
13 references·4 citing·42 second hop
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2000The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications411 cited
  • 2005Affine processes for dynamic mortality and actuarial valuations354 cited
  • 2004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts344 cited
  • 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk344 cited
  • 2001Mortality derivatives and the option to annuitise314 cited
  • 1995DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS1149 cited
  • 2004Survival models in a dynamic context: a survey137 cited
  • 2004Hazard rate for credit risk and hedging defaultable contingent claims121 cited
  • 2001Mortality Derivatives and the Option to Annuitize103 cited
  • 2004Projecting Mortality Trends94 cited

Cited by

  • 2006Optimal strategies for pricing general insurance53 cited
  • 2012Longevity bond pricing under stochastic interest rate and mortality with regime-switching

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31 cited
  • 2007An analysis of disability - linked annuities22 cited
  • 2005Lee-Carter mortality forecasting: application to the Italian population12 cited