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Modeling multi-country mortality dependence and its application in pricing survivor index swaps : a dynamic copula approach

Wang, Chou-Wen; Yang, Sharon S.; Huang, Hong-Chih - In: Insurance / Mathematics & economics 63 (2015), pp. 30-39

Persistent link: https://www.econbiz.de/10011349859

Pricing Cyber Risk: The Copula-Based Approach

Su, Karen C.; Lee, Chung-Bow; Lin, Shu-Hui; Liu, I-Chien; … - In: Advances in Pacific Basin business, economics and finance, (pp. 161-174). 2021

Cyber risk refers to risk affecting information and technology assets of a corporation or government institution. As cyber risk management become important, insurance is one possible solution. However, lack of data and severe information asymmetries increase the difficulties in pricing-related...

Persistent link: https://www.econbiz.de/10015085511

Age-specific copula-AR-GARCH mortality models

Lin, Tzuling; Wang, Chou-Wen; Tsai, Cary Chi-Liang - In: Insurance / Mathematics & economics 61 (2015), pp. 110-124

Persistent link: https://www.econbiz.de/10010515911

Modeling multicountry longevity risk with mortality dependence : a Lévy subordinated hierarchical archimedean copulas approach

Zhu, Wenjun; Ken Seng Tan; Wang, Chou-Wen - In: The journal of risk and insurance : the journal of the … 84 (2017), pp. 477-493

Persistent link: https://www.econbiz.de/10011685213

Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC) : theory and empirical tests

Zhu, Wenjun; Wang, Chou-Wen; Ken Seng Tan - In: Journal of banking & finance 69 (2016), pp. 20-36

Persistent link: https://www.econbiz.de/10011635001

Spatial dependence and aggregation in weather risk hedging : a lévy subordinated hierarchical archimedean copulas (LSHAC) approach

Zhu, Wenjun; Ken Seng Tan; Porth, Lysa; Wang, Chou-Wen - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 779-815

Persistent link: https://www.econbiz.de/10011875814