Statistical emulators for pricing and hedging longevity risk products
J. Risk, M. Ludkovski (Department of Statistics & Applied Probability, University of California, Santa Barbara CA, United States)
| Year of publication: |
May 2016
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|---|---|
| Authors: | Risk, J. ; Ludkovski, M. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 68.2016, p. 45-60
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| Subject: | Statistical emulation | Longevity risk | Life annuities | Valuation of mortality-contingent claims | Kriging | Gaussian processes | Sterblichkeit | Mortality | Hedging | Risikomodell | Risk model | Lebensversicherung | Life insurance | Theorie | Theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.02.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011492443