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Local risk-minimization with longevity bonds
Lars Frederik Brandt Henriksen, Thomas Møller
Department of Mathematical Sciences
4
Citations (Scopus)
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Business & Economics
Assets
8%
Cox-Ingersoll-Ross Model
23%
Equivalent Martingale Measure
21%
Financial Markets
22%
Insurance Contract
17%
Life Insurance
15%
Local Risk-minimization
100%
Martingale
17%
Mortality
14%
Optimal Strategy
14%
Payment
10%
Pricing
9%
Savings
18%
Stochastic Processes
15%
Survivors
36%
Mathematics
Equivalent Martingale Measure
23%
Financial Markets
37%
Insurance
15%
Life
26%
Martingale
14%
Model
4%
Mortality
16%
Optimal Strategy
16%
Pricing
16%
Stochastic Processes
12%
Strategy
10%
Engineering & Materials Science
Costs
11%
Financial markets
71%
Insurance
35%
Random processes
31%