scientific article; zbMATH DE number 7365915

DOI10.3969/J.ISSN.1001-4268.2021.01.003MaRDI QIDQ4998262zbMATH OpenFDO

Authors Lei He, Lin Lin

Publication date 1 July 2021

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2021.01.003

zbMATH Keywords

dependenceheteroscedasticitylongevitymortality model

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to social sciences (62P25) Actuarial mathematics (91G05)

Recommendations

• Age-specific copula-AR-GARCH mortality models
• Modeling longevity risk with generalized dynamic factor models and vine-copulae
• Joint modelling of longitudinal measurements and survival times via a multivariate copula approach
• Multi-population mortality models: a factor copula approach
• Modelling mortality dependence with regime-switching copulas
• Modelling the joint distribution of competing risks survival times using copula functions
• On univariate and bivariate aging for dependent lifetimes with Archimedean survival copulas
• Modeling cause-of-death mortality using hierarchical Archimedean copula
• Modelling mortality dependence: an application of dynamic vine copula
• Copula models of joint last survivor analysis

Cited in

(10)

• Correlated age-specific mortality model: an application to annuity portfolio management
• Age-specific copula-AR-GARCH mortality models
• Modelling lifetime dependence for older ages using a multivariate Pareto distribution
• Volterra mortality model: actuarial valuation and risk management with long-range dependence
• Copulas between wealth and lifetime
• Modeling longevity risk with generalized dynamic factor models and vine-copulae
• Multi-population mortality models: a factor copula approach
• Mortality risk management under the factor copula framework -- with applications to insurance policy pools
• Modelling mortality dependence with regime-switching copulas
• Measurement of longevity risk using bootstrapping for Lee-Carter and generalised linear Poisson models of mortality

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4998262)