Pricing extreme mortality risk in the wake of the COVID-19 pandemic

In pricing extreme mortality risk, it is commonly assumed that interest rate and mortality rate are independent. However, the COVID-19 pandemic calls this assumption into question. In this paper, we employ a bivariate affine jump-diffusion model to describe the joint dynamics of interest rate and ex...

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Detalles Bibliográficos
Autores principales: Li, Han, Liu, Haibo, Tang, Qihe, Yuan, Zhongyi
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9671520/
https://www.ncbi.nlm.nih.gov/pubmed/36415656
http://dx.doi.org/10.1016/j.insmatheco.2022.11.002

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9671520/
https://www.ncbi.nlm.nih.gov/pubmed/36415656
http://dx.doi.org/10.1016/j.insmatheco.2022.11.002

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