Stochastic mortality under measure changes

By Enrico Biffis, Michel Denuit, Pierre Devolder. 2010

65 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, General Health Professions

View Paper: https://www.semanticscholar.org/paper/5f89fc0ac87780ec3817a2659d45e34d8d57796d

Citations in the corpus

• Regression-based algorithms for life insurance contracts with surrender guarantees (2010, unknown): “For tractability, we assume that Q] is an equivalent martingale measure preserving the structure of section 2.2 (precise conditions are given by Biffis et al. 2009).”
• The New Life Market (2013, unknown): “Biffis et al. (2011) use a theoretical model to show that the overall cost of collateralization in mortality or longevity swaps is similar to or lower than those found in the interest-rate swaps market on account of the diversifying effects of interest rate and longevity risks.”