Pricing longevity bond with affine-jump-diffusion multi-cohort mortality model
Article Properties
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LanguageEnglish
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DOI (url)
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Indian UGC (journal)
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Refrences29
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Jingtong Xu
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Xu Chen
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Yuying Yang
Cite
Xu, Jingtong, et al. “Pricing Longevity Bond With Affine-Jump-Diffusion Multi-Cohort Mortality Model”. Journal of Computational and Applied Mathematics, vol. 446, p. 115800, https://doi.org/10.1016/j.cam.2024.115800.
Xu, J., Chen, X., & Yang, Y. (n.d.). Pricing longevity bond with affine-jump-diffusion multi-cohort mortality model. Journal of Computational and Applied Mathematics, 446, 115800. https://doi.org/10.1016/j.cam.2024.115800
Xu, Jingtong, Xu Chen, and Yuying Yang. “Pricing Longevity Bond With Affine-Jump-Diffusion Multi-Cohort Mortality Model”. Journal of Computational and Applied Mathematics 446 (n.d.): 115800. https://doi.org/10.1016/j.cam.2024.115800.
Xu J, Chen X, Yang Y. Pricing longevity bond with affine-jump-diffusion multi-cohort mortality model. Journal of Computational and Applied Mathematics. 446:115800.
Journal Categories
Science
Mathematics
Technology
Technology (General)
Industrial engineering
Management engineering
Applied mathematics
Quantitative methods
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Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
Hedging longevity risk in defined contribution pension schemes | Computational Management Science |
| 2 | 2023 |
Market Price of Longevity Risk for a Multi‐Cohort Mortality Model With Application to Longevity Bond Option Pricing | Journal of Risk and Insurance |
| 8 | 2020 |
| Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model | Communications in Statistics - Theory and Methods |
| 4 | 2020 |
| The CBD Mortality Indexes: Modeling and Applications | North American Actuarial Journal |
| 41 | 2014 |
| Mortality surface by means of continuous time cohort models | Insurance: Mathematics and Economics |
| 30 | 2013 |
Refrences Analysis
The category
Social Sciences: Economic theory. Demography: Economics as a science 5
is the most frequently represented among the references in this article. It primarily includes studies from Econometrica The chart below illustrates the number of referenced publications per year.