Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products
Griselda Deelstra, Pierre Devolder and Benjamin Roelants du Vivier
| Year of publication: |
2024
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|---|---|
| Authors: | Deelstra, Griselda ; Devolder, Pierre ; Roelants du Vivier, Benjamin |
| Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 54.2024, 3, p. 569-599
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| Subject: | affine jump diffusion | correlation between mortality and financial risks | mortality density | Stochastic mortality | zero-coupon survival bond | Sterblichkeit | Mortality | Lebensversicherung | Life insurance | Korrelation | Correlation | Zinsstruktur | Yield curve | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Risikomodell | Risk model | Zins | Interest rate | Anleihe | Bond | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2024.20 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015154564