Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Heath-Jarrow-Morton Modelling of Longevity Bonds and the Risk Minimization of Life Insurance Portfolios

13 references·6 citing·29 second hop

FromToDepth

this work references cited by second hop

References

1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
1981Point Processes and Queues1,652 cited
1983Point Processes and Queues: Martingale Dynamics.1,065 cited
1985Hedging of non-redundant contingent claims459 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
2006Valuation and hedging of life insurance liabilities with systematic mortality risk234 cited
2005Affine stochastic mortality192 cited
2005Non Mean Reverting Affine Processes for Stochastic Mortality131 cited
2001Risk-minimizing hedging strategies for insurance payment processes120 cited
1988Contingent claims valuation when the security price is a combination of an Ito process and a random point process86 cited
2007Mortality modelling with Lévy processes47 cited

Cited by

2012Longevity bond pricing under stochastic interest rate and mortality with regime-switching31 cited
2010

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

On the robustness of longevity risk pricing

24 cited

2011Longevity Risk and Capital Markets17 cited

2014Longevity Risk and Capital Markets: The 2012–2013 Update16 cited

2015On the effectiveness of natural hedging for insurance companies and pension plans15 cited

2017Do actuaries believe in longevity deceleration?15 cited