Longevity bond pricing under the threshold CIR model
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- Ewald, Christian-Oliver & Zhang, Aihua, 2017. "On the effects of changing mortality patterns on investment, labour and consumption under uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 105-115.
More about this item
KeywordsMean reversion; Threshold CIR model; Longevity bonds; Longevity models; Interest rate;
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