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Modelling the Fair Value of Annuities Contracts: The Impact of Interest Rate Risk and Mortality Risk
8 references·1 citing·31 second hop
Modelling the Fair Value of Annuities Contracts: The Impact of Interest Rate Risk and Mortality Risk (2006)Modelling the Fair Value of Annuities Con…Securitization of Mortality Risks in Life Annuities (2005)Securitization of Mortality R…Valuation of guaranteed annuity conversion options (2003)Valuation of guaranteed annui…Classes of Interest Rate Models under the HJM Framework (2001)Classes of Interest Rate Mode…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Random Mortality Fluctuations and the Binomial Hypothesis (1970)Random Mortality Fluctuations…An Analysis of the Guaranteed Withdrawal Benefits for Life Option (2008)An Analysis of the Guaranteed…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Forecasting the Term Structure of Government Bond Yields (2003)Life Cycle, Individual Thrift, and the Wealth of Nations (1986)Premium Calculation by Transforming the Layer Premium Density (1996)New Evidence on the Money's Worth of Individual Annuities (1999)Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Modelling and management of mortality risk: a review (2008)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework (2003)On Correlation and Default Clustering in Credit Markets (2010)Humps in the volatility structure of the crude oil futures market: New evidence (2013)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)The fair value of guaranteed annuity options (2005)Pricing Annuity Guarantees Under a Regime-Switching Model (2009)Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (2009)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Modeling Term Structures of Defaultable Bonds (1999)Optimum consumption and portfolio rules in a continuous-time model (1971)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models (2016)The interaction between morbidity and mortality (1980)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 2005Securitization of Mortality Risks in Life Annuities304 cited
  • 2003Valuation of guaranteed annuity conversion options108 cited
  • 2001Classes of Interest Rate Models under the HJM Framework35 cited
  • 1970Random Mortality Fluctuations and the Binomial Hypothesis16 cited

Cited by

  • 2008An Analysis of the Guaranteed Withdrawal Benefits for Life Option23 cited

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