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Affine processes for dynamic mortality and actuarial valuations · Study

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ArticleAffine processes for dynamic mortality and actuarial valuations

Enrico Biffis2005

OA

Articlegreen2005

Affine processes for dynamic mortality and actuarial valuations

354 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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 354 citations exist upstream.

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 2007Brownian Motion and Stochastic Calculus 1977An equilibrium characterization of the term structure 2005Stochastic Integration and Differential Equations 1993Dynamic Asset Pricing Theory.2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models

Cited by

2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk 2005Non Mean Reverting Affine Processes for Stochastic Mortality 2009On the pricing of longevity-linked securities 2009Modeling Mortality With Jumps: Applications to Mortality Securitization 2010Understanding, modelling and managing longevity risk: key issues and main challenges 2013The New Life Market 2011Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives 2008Modelling stochastic mortality for dependent lives

Details

Year2005

Typearticle

Published2005-06-29

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations354

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.insmatheco.2005.05.003

openalex_workW3123486469

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