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Modelling longevity bonds : analysing the Swiss Re Kortis bond

Hunt, Andrew; Blake, David - 2015

Persistent link: https://www.econbiz.de/10011318350

Identifiability, cointegration and the gravity model

Hunt, Andrew; Blake, David - In: Insurance / Mathematics & economics 78 (2018), pp. 360-368

Persistent link: https://www.econbiz.de/10011825323

Identifiability, cointegration and the gravity model

Hunt, Andrew; Blake, David - 2015

Persistent link: https://www.econbiz.de/10011318347

Robustness and convergence in the Lee-Carter model with cohort effects

Hunt, Andrew; Villegas, Andrés M. - In: Insurance / Mathematics & economics 64 (2015), pp. 186-202

Persistent link: https://www.econbiz.de/10011398002

Modelling the cohort effect in CBD models using a piecewise linear approach

Zhao, Y.; Sweeting, P. J. - 2012

Persistent link: https://www.econbiz.de/10009573357

A memory in the bond : green bond and sectoral investment interdependence in a fractionally cointegrated VAR framework

Mishra, Tapas; Park, Donghyun; Parhi, Mamata; Uddin, … - In: Energy economics 121 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014438770

The term structure of Eurozone peripheral bond yields : an asymmetric regime-switching equilibrium correction approach

Avdoulas, Christos; Bekiros, Stelios; Lucey, Brian M. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 4, pp. 1-23

Persistent link: https://www.econbiz.de/10012299596

Does the expectations hypothesis explain the term structure of treasury bond yields in Tunisia?

Boukhatem, Jamel - In: The journal of applied business research 32 (2016) 1, pp. 239-254

Persistent link: https://www.econbiz.de/10011436544

Nonlinear modeling of mortality data and its implications for longevity bond pricing

Li, Huijing; Rui, Zhou; Ji, Min - In: Risks : open access journal 11 (2023) 12, pp. 1-25

Human mortality has been improving faster than expected over the past few decades. This unprecedented improvement has … been observed in historical mortality data. In this paper, we investigate the applicability of four nonlinear time … conditional heteroskedasticity model for mortality data. By analyzing the mortality data from England and Wales and Italy spanning …

Persistent link: https://www.econbiz.de/10014446511

Two-dimensional kernel smoothing of mortality surface : an evaluation of cohort strength

Li, Han; O'Hare, Colin; Vahid, Farshid - In: Journal of forecasting 35 (2016) 6, pp. 553-563

Persistent link: https://www.econbiz.de/10011595980