Russo, Vincenzo; Giacometti, Rosella; Ortobelli, Sergio; … - In: Insurance: Mathematics and Economics 49 (2011) 1, pp. 53-60
In this paper, we focus on the calibration of affine stochastic mortality models using term assurance premiums. We view term assurance contracts as a "swap" in which policyholders exchange cash flows (premiums vs. benefits) with an insurer analogous to a generic interest rate swap or credit...