Multi-population mortality models: a factor copula approach

DOI10.1016/j.insmatheco.2015.03.022zbMath1348.91131OpenAlexW3125488103MaRDI QIDQ492648

Tao Sun, Hua Chen, Richard D. MacMinn

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.2015.03.022

zbMATH Keywords

maximum entropy principlefactor copulasmortality/longevity risk hedgingmortality/longevity risk pricingmulti-population mortality model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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