Pricing Survivor Bonds with Affine-Jump Diffusion Models

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Original languageEnglish
Title of host publicationBook of Abstracts of the 6 th Stochastic Modeling Techniques and Data Analysis International Conference with Demographics Workshop
Subtitle of host publication2-5 June, 2020
Editors Christos H. Skiadas
Publisher ISAST: International Society for the Advancement of Science and Technology.
Number of pages4
Publication statusPublished - 1 Jun 2020

Keywords

  • Survivor bonds
  • Affine-jump diffusion models
  • Longevity linked securities; double exponential compound Poisson process

Cite this

Bravo, J. M. (2020). Pricing Survivor Bonds with Affine-Jump Diffusion Models. In C. H. Skiadas (Ed.), Book of Abstracts of the 6 th Stochastic Modeling Techniques and Data Analysis International Conference with Demographics Workshop : 2-5 June, 2020 ISAST: International Society for the Advancement of Science and Technology..