2 papers
q-fin.MF2018
Mortality/longevity Risk-Minimization with or without securitization
Tahir Choulli, Catherine Daveloose, Michèle Vanmaele
This paper addresses the risk-minimization problem, with and without mortality securitization, à la Föllmer-Sondermann for a large class of equity-linked mortality contracts when n…
q-fin.MF2015
A martingale representation theorem and valuation of defaultable securities
Tahir Choulli, Catherine Daveloose, Michèle Vanmaele
We consider a market model where there are two levels of information. The public information generated by the financial assets, and a larger flow of information that contains addit…