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Modelling longevity bonds : analysing the Swiss Re Kortis bond
Hunt, Andrew; Blake, David - In: Insurance / Mathematics & economics 63 (2015), pp. 12-29
Persistent link: https://www.econbiz.de/10011349873
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Identifiability, cointegration and the gravity model
Hunt, Andrew; Blake, David - In: Insurance / Mathematics & economics 78 (2018), pp. 360-368
Persistent link: https://www.econbiz.de/10011825323
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Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang - In: Insurance / Mathematics & economics 64 (2015), pp. 313-325
Persistent link: https://www.econbiz.de/10011398088
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Pricing extreme mortality risk in the wake of the COVID-19 pandemic
Li, Han; Liu, Haibo; Tang, Qihe; Yuan, Zhongyi - In: Insurance / Mathematics & economics 108 (2023), pp. 84-106
Persistent link: https://www.econbiz.de/10013534513
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Valuing inflation-linked death benefits under a stochastic volatility framework
Liang, Zongxia; Sheng, Wenlong - In: Insurance / Mathematics & economics 69 (2016), pp. 45-58
Persistent link: https://www.econbiz.de/10011530922
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Modeling mortality and pricing life annuities with Lévy processes
Ahmadi, Seyed Saeed; Gaillardetz, Patrice - In: Insurance / Mathematics & economics 64 (2015), pp. 337-350
Persistent link: https://www.econbiz.de/10011398092
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Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
Dai, Tian-Shyr; Yang, Sharon S.; Liu, Liang-Chih - In: Insurance / Mathematics & economics 64 (2015), pp. 364-379
Persistent link: https://www.econbiz.de/10011398106
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Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate
Shevchenko, Pavel V.; Luo, Xiaolin - In: Insurance / Mathematics & economics 76 (2017), pp. 104-117
Persistent link: https://www.econbiz.de/10011774788
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An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
Zhao, Yixing; Mamon, Rogemar - In: Insurance / Mathematics & economics 78 (2018), pp. 1-12
Persistent link: https://www.econbiz.de/10011825060
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Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortaility laws
Ulm, Eric R. - In: Insurance / Mathematics & economics 58 (2014), pp. 14-23
Persistent link: https://www.econbiz.de/10010437644