Model risk in mortality-linked contingent claims pricing
Gareth W. Peters, Hongxuan Yan and Jennifer Chan
| Year of publication: |
2022
|
|---|---|
| Authors: | Peters, Gareth ; Yan, Hongxuan ; Chan, Jennifer So Kuen |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 16.2022, 3, p. 1-53
|
| Subject: | model risk | long memory | stochastic mortality model | Bayesian inference | annuitypricing | guaranteed annuity option | Sterblichkeit | Mortality | Risikomodell | Risk model | Optionspreistheorie | Option pricing theory | Risiko | Risk | Stochastischer Prozess | Stochastic process | CAPM | Bayes-Statistik | Lebensversicherung | Life insurance | Versicherungsmathematik | Actuarial mathematics | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2022.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014540592