The locally linear cairns-blake-dowd model : a note on delta–nuga hedging of longevity risk
By Yanxin Liu and Johnny Siu-Hang Li
| Year of publication: |
2016
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|---|---|
| Authors: | Liu, Yanxin ; Li, Johnny Siu-Hang |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 47.2017, 1, p. 79-151
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| Subject: | Nuga hedging | q-forwards | state-space models | the CBD model | trend changes | Hedging | Sterblichkeit | Mortality | Theorie | Theory | Prognoseverfahren | Forecasting model | Risikomanagement | Risk management | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2016.33 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011670855