Calibrating affine stochastic mortality models using term assurance premiums
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- Apicella, Giovanna & Dacorogna, Michel M, 2016. "A General framework for modelling mortality to better estimate its relationship with interest rate risks," MPRA Paper 75788, University Library of Munich, Germany.
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More about this item
KeywordsAffine stochastic models Bootstrapping Calibration Stochastic force of mortality Mortality risk Term assurance Vasicek model Cox-Ingersoll-Ross model Jump-extended Vasicek model;
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