Barbarin, Jérôme - In: Insurance: Mathematics and Economics 43 (2008) 1, pp. 41-55
This paper has two parts. In the first, we apply the Heath-Jarrow-Morton (HJM) methodology to the modelling of longevity bond prices. The idea of using the HJM methodology is not new. We can cite Cairns et al. [Cairns A.J., Blake D., Dowd K, 2006. Pricing death: framework for the valuation...