Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
Year of publication: |
2015
|
---|---|
Authors: | Yang, Bowen ; Li, Jackie ; Balasooriya, Uditha |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 62.2015, p. 16-27
|
Subject: | Bootstrapping | Model error | Longevity risk | Risk-neutral pricing | Maximum entropy method | Sterblichkeit | Mortality | Bootstrap-Verfahren | Bootstrap approach | Theorie | Theory | Entropie | Entropy | Risiko | Risk |
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