A Bayesian pricing of longevity derivatives with interest rate risks
Year of publication: |
Jan 2018
|
---|---|
Authors: | Kogure, Atsuyuki ; Fushimi, Takahiro |
Published in: |
Asia-Pacific journal of risk and insurance : APJRI. - Berlin : De Gruyter, ISSN 2153-3792, ZDB-ID 2541118-4. - Vol. 12.2018, 1, p. 1-30
|
Subject: | longevity derivatives | lee-carter methodology | interest rate risk | CIR model | Bayesian pricing | maximum entropy principle | Zinsrisiko | Interest rate risk | Sterblichkeit | Mortality | Derivat | Derivative | Bayes-Statistik | Bayesian inference | Entropie | Entropy | Optionspreistheorie | Option pricing theory | Hedging |
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