Modeling and pricing longevity derivatives using Skellam distribution

DOI10.1016/j.insmatheco.2021.04.002zbMath1467.91143OpenAlexW3156806760MaRDI QIDQ2038258

Ko-Lun Kung, Chou-Wen Wang, I-Chien Liu

Publication date: 6 July 2021

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.04.002

zbMATH Keywords

heavy tailmortality forecastingmortality modelingSkellam distributionlongevity swaps

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Related Items (1)

Dispersion modelling of mortality for both sexes with Tweedie distributions

Uses Software

• StMoMo

Cites Work

• Unnamed Item
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