A comparative study of pricing approaches for longevity instruments
Melvern Leung, Man Chung Fung, Colin O’Hare
| Year of publication: |
September 2018
|
|---|---|
| Authors: | Leung, Melvern ; Fung, Man Chung ; O'Hare, Colin |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 82.2018, p. 95-116
|
| Subject: | Longevity derivatives | Incomplete market | State-space model | Bayesian inference | Markov chain Monte Carlo | Parameter uncertainty | Sterblichkeit | Mortality | Theorie | Theory | Markov-Kette | Markov chain | Bayes-Statistik | Monte-Carlo-Simulation | Monte Carlo simulation | Unvollkommener Markt | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2018.06.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011929842