Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach

DOI10.1016/j.insmatheco.2015.03.019zbMath1348.62249OpenAlexW2037560703MaRDI QIDQ492638

Hong-Chih Huang, Sharon S. Yang, Chou-Wen Wang

Publication date: 20 August 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.03.019

zbMATH Keywords

dynamic copulamortality dependencenon-Gaussian distributionsstochastic mortality modelsurvivor swaps

Mathematics Subject Classification ID

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Uses Software

• Dynamic Copula Toolbox

Cites Work

• Modeling and Forecasting U.S. Mortality
• Regime switching for dynamic correlations
• Estimating the dimension of a model
• Pricing and securitization of multi-country longevity risk with mortality dependence
• Measuring Basis Risk in Longevity Hedges
• The t Copula and Related Copulas
• Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
• A new look at the statistical model identification
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