Nonlinear modeling of mortality data and its implications for longevity bond pricing
Year of publication: |
2023
|
---|---|
Authors: | Li, Huijing ; Rui, Zhou ; Ji, Min |
Subject: | mortality modelling | longevity bond pricing | nonlinearity | threshold autoregressive model | markov-switching | structural change | GARCH | Sterblichkeit | Mortality | Nichtlineare Regression | Nonlinear regression | ARCH-Modell | ARCH model | Anleihe | Bond | Schätzung | Estimation | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model |
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