Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
Bowen Yang; Jackie Li; Uditha Balasooriya
| Year of publication: |
2015
|
|---|---|
| Authors: | Yang, Bowen ; Li, Jackie ; Balasooriya, Uditha |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 62.2015, p. 16-27
|
| Subject: | Bootstrapping | Model error | Longevity risk | Risk-neutral pricing | Maximum entropy method | Sterblichkeit | Mortality | Bootstrap-Verfahren | Bootstrap approach | Entropie | Entropy | Risikomodell | Risk model | Risiko | Risk | Optionspreistheorie | Option pricing theory | Statistischer Fehler | Statistical error | Risikomanagement | Risk management |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10011312091