Volterra mortality model : actuarial valuation and risk management with long-range dependence
Ling Wang, Mei Choi Chiu, Hoi Ying Wong
| Year of publication: |
2021
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|---|---|
| Authors: | Wang, Ling ; Chiu, Mei Choi ; Wong, Hoi Ying |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 96.2021, p. 1-14
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| Subject: | Stochastic mortality | Long-range dependence | Affine Volterra processes | Valuation | Mean–variance hedging | Sterblichkeit | Mortality | Stochastischer Prozess | Stochastic process | Theorie | Theory | Risikomanagement | Risk management | Zeitreihenanalyse | Time series analysis | Hedging | Versicherungsmathematik | Actuarial mathematics | Portfolio-Management | Portfolio selection | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.10.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012482737