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A SIR model with time-varying parameters
Athayde, Gustavo M. de; Damião, Ruben M. - 2020 - Last update: December 23rd, 2020
Persistent link: https://www.econbiz.de/10012437034
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Securitization of longevity risk using percentile tranching
Kim, Changki; Choi, Yangho - In: The journal of risk and insurance : the journal of the … 78 (2011) 4, pp. 885-905
Persistent link: https://www.econbiz.de/10009407884
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Incorporating longevity risk and medical information into life settlement pricing
Brockett, Patrick L.; Chuang, Shuo-li; Deng, Yinglu; … - In: The journal of risk and insurance : the journal of the … 80 (2013) 3, pp. 799-825
Persistent link: https://www.econbiz.de/10010127203
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Securitization of Longevity Risks Using Percentile Tranche Methods
Kim, Changki; Choi, Yangho - 2009
As a solution to the longevity risks in annuity business we consider securitizations which transfer the risks to the financial markets. We apply the classical Lee-Carter model to generate the future stochastic survival distribution. We show a method to design the survivor bonds using the...
Persistent link: https://www.econbiz.de/10014210251
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Robustness and convergence in the Lee-Carter model with cohort effects
Hunt, Andrew; Villegas, Andrés M. - In: Insurance / Mathematics & economics 64 (2015), pp. 186-202
Persistent link: https://www.econbiz.de/10011398002
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Asymptotic inference in the Lee-Carter model for modelling mortality rates
Reese, Simon - 2015
Persistent link: https://www.econbiz.de/10010529317
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Mortality forecasting using factor models : time-varying or time-invariant factor loadings?
He, Lingyu; Huang, Fei; Shi, Jianjie; Yang, Yanrong - In: Insurance / Mathematics & economics 98 (2021), pp. 14-34
Persistent link: https://www.econbiz.de/10012545273
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Forecasting mortality with a hyperbolic spatial temporal VAR model
Feng, Lingbing; Shi, Yanlin; Chang, Le - In: International journal of forecasting 37 (2021) 1, pp. 255-273
Persistent link: https://www.econbiz.de/10012692702
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Mortality forecasting using stacked regression ensembles
Kessy, Salvatory R.; Sherris, Michael; Villegas, Andrés M. - 2021
Persistent link: https://www.econbiz.de/10012616204
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Incorporating statistical clustering methods into mortality models to improve forecasting performances
Tsai, Cary Chi-Liang; Cheng, Echo Sihan - In: Insurance / Mathematics & economics 99 (2021), pp. 42-62
Persistent link: https://www.econbiz.de/10012649207