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Polynomial diffusion models for life insurance liabilities
16 references·2 citing·34 second hop
Polynomial diffusion models for life insurance liabilities (2016)Polynomial diffusion models for life insu…Modelling Adult Mortality in Small Populations: The Saint Model (2011)Modelling Adult Mortality in …A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Valuation and hedging of life…Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Pricing Death: Frameworks for…Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (2006)Living with Mortality: Longev…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)A General Version of the Fund…A Benchmark Approach to Quantitative Finance (2006)A Benchmark Approach to Quant…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…The numeraire portfolio for unbounded semimartingales (2001)The numeraire portfolio for u…Option Pricing, Interest Rates and Risk Management (2001)Option Pricing, Interest Rate…Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter (1999)Estimating and Testing Expone…Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts (1998)Risk-Minimizing Hedging Strat…Stochastic Calculus: A Practical Introduction (1996)Stochastic Calculus: A Practi…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Infinite-dimensional polynomial processes (2021)Infinite-dimensional polynomi…Polynomial jump-diffusions on the unit simplex (2018)Polynomial jump-diffusions on…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)Mortality density forecasts: An analysis of six stochastic mortality models (2011)Backward Stochastic Differential Equations in Finance (1997)Brownian Motion and Stochastic Calculus (2007)The Hedging Performance of the New Futures Markets (1979)Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets (1993)A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Correlation structure and dynamics in volatile markets (2010)THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL (2016)Theory of Rational Option Pricing (1973)Martingales and arbitrage in multiperiod securities markets (1979)Arbitrage Theory in Continuous Time (1998)INCORPORATING OPERATIONAL CHARACTERISTICS AND START-UP COSTS IN OPTION-BASED VALUATION OF POWER GENERATION CAPACITY (2003)Characterizations of Overtaking Optimality for Controlled Diffusion Processes (2007)REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS (2008)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Hedging of contingent claims under incomplete information (1990)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)
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  • 2005Stochastic Integration and Differential Equations4,700 cited
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  • 1979Calcul Stochastique et Problèmes de Martingales1,165 cited
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  • 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk344 cited
  • 1996Stochastic Calculus: A Practical Introduction316 cited
  • 2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities273 cited
  • 1999Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter267 cited
  • 2006Valuation and hedging of life insurance liabilities with systematic mortality risk234 cited
  • 2001Option Pricing, Interest Rates and Risk Management211 cited
  • 1998Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts196 cited
  • 2001The numeraire portfolio for unbounded semimartingales142 cited

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  • 2011Modelling Adult Mortality in Small Populations: The Saint Model120 cited
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    • 2018Polynomial jump-diffusions on the unit simplex17 cited
    • 2021Infinite-dimensional polynomial processes15 cited