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ArticleAffine stochastic mortality

David F. Schrager2005

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Articlegreen2005

Affine stochastic mortality

David F. Schrager

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

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

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References

2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1999Modeling Term Structures of Defaultable Bonds 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1992Modeling and Forecasting U. S. Mortality 1998On cox processes and credit risky securities 1995Changes of numéraire, changes of probability measure and option pricing 1997LIBOR and swap market models and measures 1999Estimating the Price of Default Risk

Cited by

2005Non Mean Reverting Affine Processes for Stochastic Mortality 2009Modeling Mortality With Jumps: Applications to Mortality Securitization 2010Understanding, modelling and managing longevity risk: key issues and main challenges 2012Managing Systematic Mortality Risk With Group Self‐Pooling and Annuitization Schemes 2011Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives 2008Modelling stochastic mortality for dependent lives

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Year2005

Typearticle

Published2005-08-20

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations192

Files0 public / 0

ShelfInsurance, Mortality, Demography, Risk Management

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doi10.1016/j.insmatheco.2005.06.013

openalex_workW3124388706

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2007Longevity risk in portfolios of pension annuities

2009An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach