Hierarchical mortality forecasting with EVT tails : an application to solvency capital requirement
Han Li, Hua Chen
| Year of publication: |
2024
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|---|---|
| Authors: | Li, Han ; Chen, Hua |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier Science, ISSN 0169-2070, ZDB-ID 1495951-3. - Vol. 40.2024, 2, p. 549-563
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| Subject: | Extreme value theory | Hierarchical forecast reconciliation | Seasonal time-series model | Solvency capital requirement | The COVID-19 pandemic | Prognoseverfahren | Forecasting model | Coronavirus | Zeitreihenanalyse | Time series analysis | Sterblichkeit | Mortality | Theorie | Theory | Ausreißer | Outliers | Betriebliche Liquidität | Corporate liquidity | Risikomaß | Risk measure | Basler Akkord | Basel Accord |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2022.08.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014547182