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Parametric mortality indexes: From index construction to hedging strategies · Study

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ArticleParametric mortality indexes: From index construction to hedging strategies

Chong It Tan2014

Article2014

Parametric mortality indexes: From index construction to hedging strategies

Chong It Tan · Jackie Ka Ki Li · Johnny Siu‐Hang Li · Uditha Balasooriya

23 citations·0/0 files stored·Insurance Mathematics and Economics

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Insurance, Mortality, Demography, Risk Management Insurance and Financial Risk Management Stochastic processes and financial applications

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References

1992Modeling and Forecasting U. S. Mortality 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration 2006A cohort-based extension to the Lee–Carter model for mortality reduction factors 2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States 2005Coherent mortality forecasts for a group of populations: An extension of the lee-carter method 2011Mortality density forecasts: An analysis of six stochastic mortality models 2008Modelling and management of mortality risk: a review 2011Bayesian Stochastic Mortality Modelling for Two Populations

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Year2014

Typearticle

Published2014-10-24

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations23

Files0 public / 0

ShelfInsurance, Mortality, Demography, Risk Management

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doi10.1016/j.insmatheco.2014.10.005

openalex_workW2155176565

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