Pricing Longevity Bonds using a Generalised Vasicek Term Structure Model with Correlated Mortality and Interest Rates

Inderscience is a global company, a dynamic leading independent journal publisher disseminates the latest research across the broad fields of science, engineering and technology; management, public and business administration; environment, ecological economics and sustainable development; computing, ICT and internet/web services, and related areas.

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Publication Details

Journal
International Journal of Bonds and Derivatives
Published
2025-01-01
DOI
https://doi.org/10.1504/ijbd.2025.10072118
Primary Topic
Insurance, Mortality, Demography, Risk Management
Type
article
Field-Weighted Citation Impact
0.00
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article

Pricing Longevity Bonds using a Generalised Vasicek Term Structure Model with Correlated Mortality and Interest Rates

Georgina Onuma Kalu, Ben I. Oruh, Dennis Ikpe
International Journal of Bonds and Derivatives
Insurance, Mortality, Demography, Risk Management
article

Pricing Longevity Bonds using a Generalised Vasicek Term Structure Model with Correlated Mortality and Interest Rates

Georgina Onuma Kalu, Ben I. Oruh, Dennis Ikpe
article en

Abstract

Inderscience is a global company, a dynamic leading independent journal publisher disseminates the latest research across the broad fields of science, engineering and technology; management, public and business administration; environment, ecological economics and sustainable development; computing, ICT and internet/web services, and related areas.

International Journal of Bonds and DerivativesVol. 4(4)
Good health and well-being
Openalex Percentile: Top 74%
Insurance, Mortality, Demography, Risk Management
DOISourceOpenAlex
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Pricing Longevity Bonds using a Generalised Vasicek Term Structure Model with Correlated Mortality and Interest Rates — Georgina Onuma Kalu, Ben I. Oruh, et al. · International Journal of Bonds and Derivatives (2025) | TGRS Research Map | TGRS