Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9552802 | Insurance: Mathematics and Economics | 2005 | 26 Pages |
Abstract
We address the risk analysis and market valuation of life insurance contracts in a jump-diffusion setup. We exploit the analytical tractability of affine processes to deal simultaneously with financial and demographic risks affecting a wide range of insurance covers. We then focus on mortality at pensionable ages and show how the risk of longevity can be taken into account. A parallel with the pricing of certain credit risky securities is drawn, in order to employ important results derived in that field.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Enrico Biffis,