On systematic mortality risk and risk-minimization with survivor swaps

Scandinavian Actuarial Journal

Volumn , Issue 2-3, 2008, Pages 114-146

  Dahl, Mikkel ^a   Melchior, Martin ^a   Møller, Thomas ^a  

^a Nordea Markets ^*  (Denmark)

Author keywords

Affine mortality structure; Risk minimization; Stochastic mortality; Survivor swap

Indexed keywords

EID: 70350318833     PISSN: 03461238     EISSN: 16512030     Source Type: Journal    
DOI: 10.1080/03461230701795873     Document Type: Article

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