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Longevity/Mortality Risk Modeling and Securities Pricing · Study

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PreprintLongevity/Mortality Risk Modeling and Securities Pricing

Patrick L. Brockett2010

OA

Preprintgreen2010

Longevity/Mortality Risk Modeling and Securities Pricing

Patrick L. Brockett · Richard D. MacMinn · Yinglu Deng

17 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1992Modeling and Forecasting U. S. Mortality 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration 2002A Poisson log-bilinear regression approach to the construction of projected lifetables 2004Option Pricing Under a Double Exponential Jump Diffusion Model 2005Affine processes for dynamic mortality and actuarial valuations 2004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk 2001Mortality derivatives and the option to annuitise

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2012Longevity/Mortality Risk Modeling and Securities Pricingarticle · 16 shared references 2014Longevity Risk and Capital Markets: The 2012–2013 Updatearticle · 16 shared references 2012Longevity bond pricing under stochastic interest rate and mortality with regime-switchingarticle · 15 shared references 2013The New Life Marketarticle · 14 shared references 2010On the robustness of longevity risk pricingarticle · 13 shared references 2009Modeling Mortality With Jumps: Applications to Mortality Securitizationarticle · 12 shared references

Details

Year2010

Typepreprint

Published2010-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations17

Files0 public / 0

ShelfInsurance, Mortality, Demography, Risk Management

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doi10.2139/ssrn.1659294

openalex_workW2157456478

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