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Stochastic mortality model with respect to mixed fractional Poisson process : calibration and empirical analysis of long-range dependence in actuarial valuation
Jiang, Haoran; Zhang, Zhehao; Zhu, Xiaojun - In: Insurance : mathematics and economics 119 (2024), pp. 64-92
Persistent link: https://www.econbiz.de/10015067206
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Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying - In: Scandinavian actuarial journal 2023 (2023) 2, pp. 123-152
Persistent link: https://www.econbiz.de/10014325034
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Volterra Mortality Model : Actuarial Valuation and Risk Management with Long-Range Dependence
Wang, Ling - 2020
impact of LRD within mortality rates on various insurance products and the hedging efficiency …
Persistent link: https://www.econbiz.de/10012826539
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Volterra mortality model : actuarial valuation and risk management with long-range dependence
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 96 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012482737
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Testing constant serial dynamics in two-step risk inference for longitudinal actuarial data
Fung, Tsz Chai; Li, Yinhuan; Peng, Liang; Qian, Linyi - In: North American actuarial journal : NAAJ ; leading the … 28 (2024) 4, pp. 861-881
Persistent link: https://www.econbiz.de/10015189603
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A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds
Wang, Zihe; Li, Johnny Siu-Hang - In: Finance research letters 16 (2016), pp. 103-111
Persistent link: https://www.econbiz.de/10011655135
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On the ordering of credibility factors
Ahn, Jae Youn; Jeong, Himchan; Lu, Yang - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 626-638
Persistent link: https://www.econbiz.de/10012793956
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A dependent frequency-severity approach to modeling longitudinal insurance claims
Lee, Gee; Shi, Peng - In: Insurance / Mathematics & economics 87 (2019), pp. 115-129
Persistent link: https://www.econbiz.de/10012058928
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On stocks and interest rates modeling in long-range dependent environment
Melnikov, Alexander; Mišura, Julija S. - In: Risk and decision analysis 5 (2014) 4, pp. 177-187
Persistent link: https://www.econbiz.de/10011286251
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Stochastic inflow modeling for hydropower scheduling problems
Pritchard, Geoffrey - In: European journal of operational research : EJOR 246 (2015) 2, pp. 496-504
Persistent link: https://www.econbiz.de/10011338122