Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds



Ozen, Selin and Sahin, Sule ORCID: 0000-0003-4080-9165
(2020) Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 376.

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Item Type: Article
Uncontrolled Keywords: Renewal process, Mortality risks, Jump-diffusion process, Stochastic mortality, Merton model, Catastrophic bonds
Depositing User: Symplectic Admin
Date Deposited: 09 Mar 2020 09:28
Last Modified: 14 May 2022 07:18
DOI: 10.1016/j.cam.2020.112829
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3078044