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Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model With the GAS Structure

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523 cited

2006Estimation of multivariate models for time series of possibly different lengths421 cited

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2020On the use of Archimedean copulas for insurance modelling28 cited
2017Five different distributions for the Lee–Carter model of mortality forecasting: A comparison using GAS models22 cited
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2019MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS14 cited