In this paper, we present a discrete time regime switching binomial-like model of the term structure where the regime switches are governed by a discrete time semi-Markov process. We model the evolution of the prices of zero-coupon when given an initial term structure as in the model by Ho and...

In arbitrage-free but incomplete markets, the equivalent martingale measure Q for pricing traded assets is not uniquely determined. A possible approach when it comes to choosing a particular pricing measure is to consider the one that is ‘closest’to the physical probability measure P, where...

This paper addresses the modelling of human mortality by the aid of doubly stochastic processes with an intensity driven by a positive Lévy process. We focus on intensities having a mean reverting stochastic component. Furthermore, driving Lévy processes are pure jump processes belonging to...

Longevity risk is a major issue for insurers and pension funds, especially in the selling of annuity products. In that respect, securitization of this risk could offer great opportunities for hedging. This article proposes to design survivor bonds which could be issued directly by insurers. In...

The management of a life insurance portfolio or pension fund must take intoaccount the temporal evolution of its liabilities and its assets through some variables:the factors and returns. Their behaviour is analysed statistically and we deduce it to avector error correction model (VECM). Using...