This paper proposes and assesses consistent multi-factor dynamic affine mortality models for longevity risk …-free model specification. There are multiple risk factors allowing applications to hedging and pricing mortality and longevity … bonds, mortality derivatives and more general risk management problems. A state-space representation is used to estimate …

This paper proposes and calibrates a consistent multi-factor affine term structure mortality model for longevity risk … the choice of risk-neutral measure is not unique and we fit it to observed historical mortality rates in our framework. We … show that the risk-neutral parameters can be calibrated and are relatively insensitive of the historical period chosen …

demonstrate that the normal model fails to capture adequately tail risk, and consequently significantly misprices out of the money …

markets, including discontinuous semi-martingale. The measure of the risk is defined as the value of a zero-sum game between …, and we provide some regularity properties of the dynamic measure of risk. We emphasized applications in insurance to price …

This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …

This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …

This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …