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Mortality modeling with non-Gaussian innovations and applications to the valuation of longevity swaps
Wang, Chou-wen; Huang, Hong-chih; Liu, I-chien - In: The journal of risk and insurance : the journal of the … 80 (2013) 3, pp. 775-797
Persistent link: https://www.econbiz.de/10010127204
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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
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Risk management of financial crises : an optimal investment strategy with multivariate jump-diffusion models
Wang, Chou-Wen; Huang, Hong-Chih - In: Astin bulletin : the journal of the International … 47 (2017) 2, pp. 501-525
Persistent link: https://www.econbiz.de/10011729607
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Optimal multiperiod asset allocation : matching assets to liabilities in a discrete model
Huang, Hong-chih - In: The journal of risk and insurance : the journal of the … 77 (2010) 2, pp. 451-472
Persistent link: https://www.econbiz.de/10003981539
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Modeling longevity risks using a principal component approach : a comparison with existing stochastic mortality models
Yang, Sharon S.; Yue, Jack C.; Huang, Hong-chih - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 254-270
Persistent link: https://www.econbiz.de/10003953374
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Pricing survivor derivatives with cohort mortality dependence under the Lee-Carter framework
Wang, Chou-wen; Yang, Sharon S. - In: The journal of risk and insurance : the journal of the … 80 (2013) 4, pp. 1027-1056
Persistent link: https://www.econbiz.de/10010235570
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Implementing option pricing models when asset returns follow an autoregressive moving average process
Wang, Chou-wen; Wu, Chin-wen; Tzang, Shyh-weir - In: International review of economics & finance : IREF 24 (2012), pp. 8-25
Persistent link: https://www.econbiz.de/10009690239
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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