Statistical emulators for pricing and hedging longevity risk products
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
|
Subject: | Statistical emulation | Longevity risk | Life annuities | Valuation of mortality-contingent claims | Kriging | Gaussian processes | Sterblichkeit | Mortality | Hedging | Lebensversicherung | Life insurance | Risikomodell | Risk model | Risiko | Risk | Theorie | Theory | Leibrente | Life annuity | Stochastischer Prozess | Stochastic process | Versicherungsmathematik | Actuarial mathematics |
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