Browsing Research Articles (Actuarial Science) by Subject "Stochastic mortality"

Browsing Research Articles (Actuarial Science) by Subject "Stochastic mortality"

Sort by: Order: Results:

  • An economic scenario generator for embedded derivatives in South Africa 
    Levendis, Alexis; Mare, Eben (Actuarial Society of South Africa, 2022)
    It is well known that interest rate risk is a dominating factor when pricing long-dated contingent claims. The Heston stochastic volatility model fails to capture this risk as the model assumes a constant interest rate ...