193 citations · 476 across the 39 of their papers we have counts for
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q-fin.PR2017
General Price Bounds for Guaranteed Annuity Options
Raj Kumari Bahl, Sotirios Sabanis
In this paper, we are concerned with the valuation of Guaranteed Annuity Options (GAOs) under the most generalised modelling framework where both interest and mortality rates are s…
q-fin.PR2016
Model-Independent Price Bounds for Catastrophic Mortality Bonds
Raj Kumari Bahl, Sotirios Sabanis
In this paper, we are concerned with the valuation of Catastrophic Mortality Bonds and, in particular, we examine the case of the Swiss Re Mortality Bond 2003 as a primary example…