References

• 2005Stochastic Integration and Differential Equations4,700 cited
• 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
• 2003Affine processes and applications in finance1,044 cited
• 2010A Guided Tour through Quadratic Hedging Approaches490 cited
• 2005Affine processes for dynamic mortality and actuarial valuations354 cited
• 2001Survivor Bonds: Helping to Hedge Mortality Risk350 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
• 1998Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts196 cited
• 2005Affine stochastic mortality192 cited
• 2004Hazard rate for credit risk and hedging defaultable contingent claims121 cited
• 2001Risk-minimizing hedging strategies for insurance payment processes120 cited
• 2008On systematic mortality risk and risk-minimization with survivor swaps97 cited
• 2008Mortality risk via affine stochastic intensities: calibration and empirical relevance82 cited
• 2009The handbook of insurance-linked securities81 cited