The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
Yanxin Liu; Johnny Siu-Hang Li
| Year of publication: |
2015
|
|---|---|
| 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 | Schätzung | Estimation | Anleihe | Bond |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011397966