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Basis risk modelling: a cointegration-based approach - MaRDI portal

Basis risk modelling: a cointegration-based approach (Q5276179)

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scientific article; zbMATH DE number 6745883
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English
Basis risk modelling: a cointegration-based approach
scientific article; zbMATH DE number 6745883

    Statements

    title
    Basis risk modelling: a cointegration-based approach (English)
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    author
    Yahia Salhi
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    Stéphane Loisel
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    published in
    Statistics
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    publication date
    14 July 2017
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    zbMATH Keywords
    longevity risk
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    national and insured mortality rates
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    cointegration
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    basis risk
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    multivariate approach
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    time series
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    robustness
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62M10
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    91B30
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    91D20
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    zbMATH DE Number
    6745883
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    OpenAlex ID
    W2205117154
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