A recursive approach to mortality-linked derivative pricing
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References listed on IDEAS
- Goovaerts, Marc J. & Laeven, Roger J.A., 2008. "Actuarial risk measures for financial derivative pricing," Insurance: Mathematics and Economics, Elsevier, pages 540-547.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Feng, Runhuan & Jing, Xiaochen, 2017. "Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits," Insurance: Mathematics and Economics, Elsevier, pages 36-48.
- Raj Kumari Bahl & Sotirios Sabanis, 2016. "Model-Independent Price Bounds for Catastrophic Mortality Bonds," Papers 1607.07108, arXiv.org.
- Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang, 2012. "Valuing equity-linked death benefits and other contingent options: A discounted density approach," Insurance: Mathematics and Economics, Elsevier, pages 73-92.
More about this item
KeywordsMortality-linked derivative Diffusion process Transition density function Feynman-Kac integral;
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