MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS
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Publication:5379412
DOI10.1017/asb.2019.10zbMath1458.91187OpenAlexW2942383146WikidataQ128023875 ScholiaQ128023875MaRDI QIDQ5379412
Publication date: 29 May 2019
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11343/227088
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Mathematical geography and demography (91D20) Actuarial mathematics (91G05)
Related Items (3)
Modelling mortality dependence: an application of dynamic vine copula ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
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