Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076674 | Insurance: Mathematics and Economics | 2013 | 10 Pages |
Abstract
⺠A new approach for valuing longevity bonds is proposed. ⺠The approach is developed based on stochastic flows and a forward measure. ⺠An exponential affine form for the longevity bond price is obtained. ⺠The closed-form expression for the longevity bond price is easy to implement.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yang Shen, Tak Kuen Siu,