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Chen et al., 2010 - Google Patents

Longevity bond premiums: The extreme value approach and risk cubic pricing

Chen et al., 2010

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Document ID
13040649401948290602
Author
Chen H
Cummins J
Publication year
Publication venue
Insurance: Mathematics and Economics

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Snippet

The purpose of this study is to analyze the securitization of longevity risk with an emphasis on longevity risk modeling and longevity bond premium pricing. Various longevity derivatives have been proposed, and the capital market has experienced one unsuccessful …
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