On the pricing of longevity-linked securities
For annuity providers, longevity risk, ie the risk that future mortality trends differ from those
anticipated, constitutes an important risk factor. In order to manage this risk, new financial …
anticipated, constitutes an important risk factor. In order to manage this risk, new financial …
Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential …
High-dimensional partial differential equations (PDEs) appear in a number of models from
the financial industry, such as in derivative pricing models, credit valuation adjustment …
the financial industry, such as in derivative pricing models, credit valuation adjustment …
[图书][B] Backward stochastic differential equations with jumps and their actuarial and financial applications
Ł Delong - 2013 - Springer
A linear backward stochastic differential equation was introduced by Bismut (1973) in an
attempt to solve an optimal stochastic control problem by the maximum principle. The …
attempt to solve an optimal stochastic control problem by the maximum principle. The …
On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward …
Parabolic partial differential equations (PDEs) and backward stochastic differential
equations (BSDEs) are key ingredients in a number of models in physics and financial …
equations (BSDEs) are key ingredients in a number of models in physics and financial …
Longevity risk and capital markets: The 2019-20 update
D Blake, AJG Cairns - Insurance: Mathematics and Economics, 2021 - Elsevier
Abstract This Special Issue of Insurance: Mathematics and Economics contains 16
contributions to the academic literature all dealing with longevity risk and capital markets …
contributions to the academic literature all dealing with longevity risk and capital markets …
Multilevel Picard approximations of high-dimensional semilinear parabolic differential equations with gradient-dependent nonlinearities
M Hutzenthaler, T Kruse - SIAM Journal on Numerical Analysis, 2020 - SIAM
Parabolic partial differential equations (PDEs) and backward stochastic differential
equations have a wide range of applications. In particular, high-dimensional PDEs with …
equations have a wide range of applications. In particular, high-dimensional PDEs with …
Pricing extreme mortality risk in the wake of the COVID-19 pandemic
In pricing extreme mortality risk, it is commonly assumed that interest rate and mortality rate
are independent. However, the COVID-19 pandemic calls this assumption into question. In …
are independent. However, the COVID-19 pandemic calls this assumption into question. In …
Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
This paper considers the pricing of equity-linked life insurance contracts with death and
survival benefits in a general model with multiple stochastic risk factors: interest rate, equity …
survival benefits in a general model with multiple stochastic risk factors: interest rate, equity …
A comparative study of pricing approaches for longevity instruments
The presence of systematic risk in mortality forecasts, known as longevity risk, has called for
the introduction of longevity instruments and their market development. Management of …
the introduction of longevity instruments and their market development. Management of …
Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
This research proposes a dynamic control modeling of income allocation between life
insurance purchase and consumption subject to market incompleteness. We adopt a no …
insurance purchase and consumption subject to market incompleteness. We adopt a no …