Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing
Brian Hartman, Chris Groendyke and David Engler
| Year of publication: |
2020
|
|---|---|
| Authors: | Hartman, Brian ; Groendyke, Chris ; Engler, David |
| Subject: | Bayesian | correlation structures | guaranteed minimum income benefit | Regime-switching | variable annuities | Korrelation | Correlation | Bayes-Statistik | Bayesian inference | Theorie | Theory | Markov-Kette | Markov chain | Private Altersvorsorge | Private retirement provision | Kapitaleinkommen | Capital income | Lebensversicherung | Life insurance | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2019.1655476 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012195031