Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach
type: Item
instance of: scholarly article
title: Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach
zbMATH Open document ID: 1348.62249
author: Chou-Wen Wang
author: Sharon S. Yang
author: Hong-Chih Huang
published in: Insurance Mathematics \& Economics
publication date: 2015-08-20T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 91D20
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6474316
zbMATH Keywords: dynamic copula
zbMATH Keywords: non-Gaussian distributions
zbMATH Keywords: mortality dependence
zbMATH Keywords: survivor swaps
zbMATH Keywords: stochastic mortality model
describes a project that uses: Dynamic Copula Toolbox
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2015.03.019
OpenAlex ID: W2037560703
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DOI: 10.1016/J.INSMATHECO.2015.03.019
description: scientific article; zbMATH DE number 6474316