A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds
Zihe Wang, Johnny Siu-Hang Li
| Year of publication: |
February 2016
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|---|---|
| Authors: | Wang, Zihe ; Li, Johnny Siu-Hang |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 16.2016, p. 103-111
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| Subject: | Actuarial science | Non-linear time-series | Mortality/longevity risk | Securitization | Risk-cubic pricing | Sterblichkeit | Mortality | Risikomodell | Risk model | Verbriefung | Versicherungsmathematik | Actuarial mathematics | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Lebensversicherung | Life insurance | Anleihe | Bond | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2015.10.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011655135