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Regime-switching shot-noise processes and longevity bond pricing
In this paper, we consider the valuation of longevity bonds under a regime-switching interest rate and a regimeswitching force of mortality model. The model assumes that the interest rate is driven by economic and environmental conditions described by a homogenous Markov chain and that the stochasti...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2014
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7149022/ http://dx.doi.org/10.1007/s10986-014-9251-y |