The locally linear cairns-blake-dowd model : a note on delta–nuga hedging of longevity risk
Year of publication: |
2016
|
---|---|
Authors: | Liu, Yanxin ; Li, Johnny Siu-Hang |
Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 47.2017, 1, p. 79-151
|
Subject: | Nuga hedging | q-forwards | state-space models | the CBD model | trend changes | Hedging | Sterblichkeit | Mortality | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | Theorie | Theory |
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