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

DOI10.1016/j.insmatheco.2012.10.004zbMath1284.91556MaRDI QIDQ2442512

Sharon S. Yang, Chou-Wen Wang

Publication date: 3 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.10.004

zbMATH Keywords

Lee-Carter model; multivariate Wang transform; VECM model; longevity bond; co-integration analysis; mortality correlation

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

91D20: Mathematical geography and demography

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Uses Software

• LifeMetrics

Cites Work

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