Affine processes for dynamic mortality and actuarial valuations

Insurance: Mathematics and Economics

Volumn 37, Issue 3, 2005, Pages 443-468

  Biffis, Enrico ^a  

^a BOCCONI UNIVERSITY   (Italy)

Author keywords

Affine jump diffusion; Doubly stochastic processes; Fair value; Longevity risk; Stochastic mortality

Indexed keywords

EID: 29144513639     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2005.05.003     Document Type: Article

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