Valuation of the interest rate guarantee embedded in defined contribution pension plans

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

David Heath, Robert A. Jarrow, A. J. Morton · Econometrica · 1992 · 3.2K citations

Business, Economics, Finance +17

THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER

William Margrabe · The Journal of Finance · 1978 · 1.6K citations

Business, Economics, Finance +9

<scp>A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration</scp>

Andrew J. G. Cairns, David Blake, Kevin Dowd · Journal of Risk & Insurance · 2006 · 935 citations · Full text

Business, Economics, Finance +15

A cohort-based extension to the Lee–Carter model for mortality reduction factors

A. E. Renshaw, Steven Haberman · Insurance Mathematics and Economics · 2006 · 752 citations

Social Sciences, Biostatistics, Health Sciences +12

A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States

Andrew J. G. Cairns, David Blake, Kevin Dowd et al. · North American Actuarial Journal · 2009 · 694 citations · Full text

Public Health, Biostatistics, Demography +15