Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Affine stochastic mortality

13 references·16 citing·38 second hop

FromToDepth

this work references cited by second hop

References

2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
1999Modeling Term Structures of Defaultable Bonds2,547 cited
1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
1992Modeling and Forecasting U. S. Mortality2,311 cited
1998On cox processes and credit risky securities1,213 cited
1995Changes of numéraire, changes of probability measure and option pricing808 cited
1997LIBOR and swap market models and measures746 cited
1999Estimating the Price of Default Risk724 cited
1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
1860On the Law of Mortality and the Construction of Annuity Tables465 cited
2000The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications411 cited
2004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts344 cited
2001Mortality derivatives and the option to annuitise314 cited

Cited by

2005Non Mean Reverting Affine Processes for Stochastic Mortality131 cited
2009Modeling Mortality With Jumps: Applications to Mortality Securitization

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

124 cited

2010Understanding, modelling and managing longevity risk: key issues and main challenges122 cited

2012Managing Systematic Mortality Risk With Group Self‐Pooling and Annuitization Schemes109 cited

2011Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives108 cited

2007Longevity risk in portfolios of pension annuities105 cited

2008Modelling stochastic mortality for dependent lives105 cited

2009An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach102 cited

2008On systematic mortality risk and risk-minimization with survivor swaps97 cited

2009Securitization, structuring and pricing of longevity risk94 cited

2004Valuation of credit default swaps and swaptions86 cited

2004Time-inhomogeneous affine processes83 cited

2008Mortality risk via affine stochastic intensities: calibration and empirical relevance82 cited

2006Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio78 cited

2013Consistent dynamic affine mortality models for longevity risk applications65 cited

2009On the optimal product mix in life insurance companies using conditional value at risk63 cited