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Affine processes for dynamic mortality and actuarial valuations

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Biffis, Enrico

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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 37 (2005)
Issue (Month): 3 (December)
Pages: 443-468
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Handle: RePEc:eee:insuma:v:37:y:2005:i:3:p:443-468

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Web page: http://www.elsevier.com/locate/inca/505554

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  1. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2006. "A note on stochastic survival probabilities and their calibration," ICER Working Papers - Applied Mathematics Series 5-2006, ICER - International Centre for Economic Research. [Downloadable!]
    Other versions:
  2. Virginia R. Young, 2007. "Pricing Life Insurance under Stochastic Mortality via the Instantaneous Sharpe Ratio: Theorems and Proofs," Quantitative Finance Papers 0705.1297, arXiv.org. [Downloadable!]
  3. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling stochastic mortality for dependent lives," Carlo Alberto Notebooks 43, Collegio Carlo Alberto. [Downloadable!]
    Other versions:
  4. Alexander Melnikov & Yuliya Romanyuk, 2006. "Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets," Working Papers 06-43, Bank of Canada. [Downloadable!]
    Other versions:
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