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• W2078156931 abstract "We address the risk analysis and market valuation of life insurance contracts in a jump-diffusion setup. We exploit the analytical tractability of affine processes to deal simultaneously with financial and demographic risks affecting a wide range of insurance covers. We then focus on mortality at pensionable ages and show how the risk of longevity can be taken into account. A parallel with the pricing of certain credit risky securities is drawn, in order to employ important results derived in that field." @default.
• W2078156931 created "2016-06-24" @default.
• W2078156931 creator A5062226449 @default.
• W2078156931 date "2004-01-01" @default.
• W2078156931 modified "2023-09-25" @default.
• W2078156931 title "Affine Processes for Dynamic Mortality and Actuarial Valuations" @default.
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• W2078156931 doi "https://doi.org/10.2139/ssrn.647421" @default.
• W2078156931 hasPublicationYear "2004" @default.
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