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ArticlePolynomial diffusion models for life insurance liabilities

Francesca Biagini2016

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Articlegreen2016

Polynomial diffusion models for life insurance liabilities

Francesca Biagini · Yinglin Zhang

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

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Stochastic processes and financial applications Insurance, Mortality, Demography, Risk Management Probability and Risk Models

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References

2005Stochastic Integration and Differential Equations 2006A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 1979Calcul Stochastique et Problèmes de Martingales 2010A Guided Tour through Quadratic Hedging Approaches 1985Hedging of non-redundant contingent claims 2006A Benchmark Approach to Quantitative Finance 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk

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2018Polynomial jump-diffusions on the unit simplex 2021Infinite-dimensional polynomial processes

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Year2016

Typearticle

Published2016-09-09

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations19

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2016.08.008

openalex_workW2397789598

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