Green nested simulation via likelihood ratio : applications to longevity risk management
Ben Mingbin Feng, Johnny Siu-Hang Li, Kenneth Q. Zhou
| Year of publication: |
2022
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|---|---|
| Authors: | Feng, Mingbin ; Li, Johnny Siu-Hang ; Zhou, Kenneth Q. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 106.2022, p. 285-301
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| Subject: | Likelihood ratio method | Mortality-linked securities | Nested simulation | The Lee-Carter model | Value hedges | Simulation | Sterblichkeit | Mortality | Hedging | Risikomanagement | Risk management | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2022.07.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013380561