Modeling pandemic mortality risk and its application to mortality-linked security pricing
Fen-Ying Chen, Sharon S. Yang, Hong-Chih Huang
| Year of publication: |
2022
|
|---|---|
| Authors: | Chen, Fen-Ying ; Yang, Sharon S. ; Huang, Hong Chih |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 106.2022, p. 341-363
|
| Subject: | Pandemic mortality risk | COVID-19 | Wang transform | Mortality-linked security | Threshold jump approach | Sterblichkeit | Mortality | Coronavirus | Epidemie | Epidemic | Risikomodell | Risk model | Risiko | Risk | Welt | World | Stochastischer Prozess | Stochastic process | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2022.06.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013380614