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Multi-Population Mortality Models: A Factor Copula Approach · Study

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ArticleMulti-Population Mortality Models: A Factor Copula Approach

Hua Chen2014

OA

Articlegreen2014

Multi-Population Mortality Models: A Factor Copula Approach

Hua Chen · Richard D. MacMinn · Tao Sun

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

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Insurance, Mortality, Demography, Risk Management Financial Risk and Volatility Modeling Probability and Risk Models

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References

1977Time Series Analysis: Forecasting and Control 1999An Introduction to Copulas 1992Modeling and Forecasting U. S. Mortality 1994Autoregressive Conditional Density Estimation 1998Understanding Relationships Using Copulas 2000On Default Correlation 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

Cited by

2016Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization 2017Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard 2019Forecasting mortality rate improvements with a high-dimensional VAR 2021NEIGHBOURING PREDICTION FOR MORTALITY 2017Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model With the GAS Structure 2015The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds

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Year2014

Typearticle

Published2014-01-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations65

Files0 public / 0

ShelfInsurance, Mortality, Demography, Risk Management

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doi10.1016/j.insmatheco.2015.03.022

openalex_workW3125488103

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2020On the use of Archimedean copulas for insurance modelling

2017Modeling Multicountry Longevity Risk With Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach