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Longevity bond premiums: The extreme value approach and risk cubic pricing · Study

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ArticleLongevity bond premiums: The extreme value approach and risk cubic pricing

Hua Chen2009

OA

Articlegreen2009

Longevity bond premiums: The extreme value approach and risk cubic pricing

Hua Chen · J. David Cummins

64 citations·0/0 files stored·Insurance Mathematics and Economics

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Insurance, Mortality, Demography, Risk Management Insurance and Financial Risk Management Stochastic processes and financial applications

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1979Martingales and arbitrage in multiperiod securities markets 1976The valuation of options for alternative stochastic processes 1981Martingales and stochastic integrals in the theory of continuous trading 1992Modeling and Forecasting U. S. Mortality 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

Cited by

2013The New Life Market 2011Analysis and Valuation of Insurance Companies 2012Pricing Mortality Securities With Correlated Mortality Indexes 2016Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization 2017Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model With the GAS Structure 2015The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds

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2017Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model With the GAS Structurearticle · 9 shared references 2010On the robustness of longevity risk pricingarticle · 9 shared references 2009Modeling Mortality With Jumps: Applications to Mortality Securitizationarticle · 8 shared references 2013The New Life Marketarticle · 8 shared references 2020Pricing longevity derivatives via Fourier transformsarticle · 8 shared references 2014Longevity Risk and Capital Markets: The 2012–2013 Updatearticle · 8 shared references

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Year2009

Typearticle

Published2009-09-27

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations64

Files0 public / 0

ShelfInsurance, Mortality, Demography, Risk Management

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doi10.1016/j.insmatheco.2009.09.007

openalex_workW2069685478

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2012The Cost of Counterparty Risk and Collateralization in Longevity Swaps

2019Statistical Inference for Lee-Carter Mortality Model and Corresponding Forecasts