Measuring Basis Risk in Longevity Hedges
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Publication:3107266
DOI10.1080/10920277.2011.10597616zbMath1228.91042OpenAlexW1539798016MaRDI QIDQ3107266
Johnny Siu-Hang Li, Mary R. Hardy
Publication date: 21 December 2011
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2011.10597616
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Uses Software
Cites Work
- Bayesian Poisson log-bilinear mortality projections
- Securitization of catastrophe mortality risks
- Estimating the dimension of a model
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach
- Modelling and management of mortality risk: a review
- Optimal Inference in Cointegrated Systems
- Testing for unit roots in autoregressive-moving average models of unknown order
- Co-Integration and Error Correction: Representation, Estimation, and Testing
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