Volterra mortality model : actuarial valuation and risk management with long-range dependence
Year of publication: |
2021
|
---|---|
Authors: | Wang, Ling ; Chiu, Mei Choi ; Wong, Hoi Ying |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 96.2021, p. 1-14
|
Subject: | Stochastic mortality | Long-range dependence | Affine Volterra processes | Valuation | Mean–variance hedging | Theorie | Theory | Sterblichkeit | Mortality | Risikomanagement | Risk management | Hedging | Stochastischer Prozess | Stochastic process | Versicherungsmathematik | Actuarial mathematics | Zeitreihenanalyse | Time series analysis |
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