MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS (Q5379412)

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scientific article; zbMATH DE number 7060627

Language	Label	Description	Also known as
English	MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS	scientific article; zbMATH DE number 7060627

Statements

scholarly article

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MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS (English)

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publication date

29 May 2019

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full work available at URL

http://hdl.handle.net/11343/227088

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zbMATH Keywords

mortality dependence

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R-vine copula

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regime-switching

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longevity risk

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S-forward

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MaRDI profile type

MaRDI publication profile

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Pair-copula constructions of multiple dependence

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Probability density decomposition for conditionally dependent random variables modeled by vines

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Vines -- a new graphical model for dependent random variables.

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Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50

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Truncated regular vines in high dimensions with application to financial data

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A Gravity Model of Mortality Rates for Two Related Populations

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Multi-population mortality models: a factor copula approach

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MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE

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Selecting and estimating regular vine copulae and application to financial returns

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Co-Integration and Error Correction: Representation, Estimation, and Testing

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Dynamic mortality factor model with conditional heteroskedasticity

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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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Modelling Adult Mortality in Small Populations: The Saint Model

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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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Dynamic linear models with Markov-switching

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Modeling and Forecasting U.S. Mortality

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Measuring Basis Risk in Longevity Hedges

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A step-by-step guide to building two-population stochastic mortality models

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Age-specific copula-AR-GARCH mortality models

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Vine copulas with asymmetric tail dependence and applications to financial return data

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Regime switches in the dependence structure of multidimensional financial data

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

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Pricing and securitization of multi-country longevity risk with mortality dependence

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Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II

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Identifiers

zbMATH Open document ID

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10.1017/asb.2019.10

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5379412

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