A comparative study of pricing approaches for longevity instruments
Year of publication: |
September 2018
|
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Authors: | Leung, Melvern ; Fung, Man Chung ; O'Hare, Colin |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 82.2018, p. 95-116
|
Subject: | Longevity derivatives | Incomplete market | State-space model | Bayesian inference | Markov chain Monte Carlo | Parameter uncertainty | Theorie | Theory | Bayes-Statistik | Markov-Kette | Markov chain | Sterblichkeit | Mortality | Monte-Carlo-Simulation | Monte Carlo simulation | Unvollkommener Markt | Derivat | Derivative |
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