Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

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

Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform

16 references·1 citing·33 second hop

FromToDepth

this work references cited by second hop

References

2005Stochastic Integration and Differential Equations4,594 cited
1992Modeling and Forecasting U. S. Mortality2,311 cited
2004Lévy Processes and Stochastic Calculus2,040 cited
2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
2009Lévy Processes and Stochastic Calculus1,442 cited
2004Insurance: Mathematics and Economics1,308 cited
1995Hyperbolic Distributions in Finance959 cited
2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration891 cited
2003Lévy processes in finance pricing financial derivatives807 cited
2003Lévy Processes in Finance793 cited
2006A cohort-based extension to the Lee–Carter model for mortality reduction factors734 cited
2019Investment Management and Financial Innovations681 cited
2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States662 cited
1995Option pricing by Esscher transforms.651 cited
2008Mortality Modelling and Forecasting: a Review of Methods463 cited
1932

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

On the probability function in the collective theory of risk

376 cited

Cited by

2020Volterra Mortality Model: Actuarial Valuation and Risk Management with Long-Range Dependence18 cited