The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
Year of publication: |
2015
|
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Authors: | Liu, Yanxin ; Li, Johnny Siu-Hang |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 64.2015, p. 135-150
|
Subject: | Risk-neutral valuation | Securitization | The Lee-Carter model | Jump effects | Catastrophic mortality bonds | Sterblichkeit | Mortality | Verbriefung | Optionspreistheorie | Option pricing theory | Anleihe | Bond | Schätzung | Estimation | Risiko | Risk | Katastrophe | Disaster |
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