Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach (Q492638)
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scientific article; zbMATH DE number 6474316
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| English | Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach |
scientific article; zbMATH DE number 6474316 |
Statements
Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach (English)
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20 August 2015
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dynamic copula
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non-Gaussian distributions
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mortality dependence
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survivor swaps
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stochastic mortality model
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0.8102855086326599
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0.7986807823181152
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0.7904113531112671
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0.7889722585678101
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0.7582314014434814
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