Using hierarchical Archimedean copulas for modelling mortality dependence and pricing mortality-linked securities
Jackie Li, Uditha Balasooriya and Jia Liu
| Year of publication: |
2021
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|---|---|
| Authors: | Li, Jackie ; Balasooriya, Uditha ; Liu, Jia |
| Subject: | Mortality bond | Mortality dependence | Nested Archimedean copulas | Sterblichkeit | Mortality | Multivariate Verteilung | Multivariate distribution | Theorie | Theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S1748499520000251 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012656704