Pricing Longevity Bonds Using Affine-Jump Diffusion Models
Historically, actuaries have been calculating premiums and mathematical reserves using a deterministic approach, by considering a deterministic mortality intensity, which is a function of the age only, extracted from available (static) life tables and by setting a flat ("best estimate") in...
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| Format: | article |
| Language: | eng |
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2013
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| Online Access: | http://hdl.handle.net/10174/7593 |
| Country: | Portugal |
| Oai: | oai:dspace.uevora.pt:10174/7593 |