A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING

By Andrew J. G. Cairns. 2004

46 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/11a9976e04632d334819e9ea87fd67164b636b75

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. David P. Blake
2. Kevin Dowd
3. Andrew J. G. Cairns
4. Elena Vigna

Citations in the corpus

• Securitization of Catastrophe Mortality Risks (2008, unknown): “Cairns et al. (2004) apply the pricing framework of positive interest rate model (Flesaker and Hughston, 1996; Rogers, 1997; Cairns, 2004) in their mortality model to get positive survival probabilities.”
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* (2006, methodology): “(For further details of the EIB/BNP bond, see Cairns, Blake, and Dowd (2005), Cairns, Blake, Dawson and Dowd (2005) and Blake, Cairns and Dowd (2006).)”