Modeling multi-country mortality dependence and its application in pricing survivor index swaps : a dynamic copula approach
Chou-Wen Wang; Sharon S. Yang; Hong-Chih Huang
| Year of publication: |
2015
|
|---|---|
| Authors: | Wang, Chou-Wen ; Yang, Sharon S. ; Huang, Hong-Chih |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 63.2015, p. 30-39
|
| Subject: | Dynamic copula | Non-Gaussian distributions | Mortality dependence | Survivor swaps | Stochastic mortality model | Sterblichkeit | Mortality | Multivariate Verteilung | Multivariate distribution | Swap | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011349859