Basis risk modelling: a cointegration-based approach

DOI10.1080/02331888.2016.1259806zbMath1369.62285OpenAlexW2205117154MaRDI QIDQ5276179

Yahia Salhi, Stéphane Loisel

Publication date: 14 July 2017

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2016.1259806

zbMATH Keywords

robustnesstime seriescointegrationlongevity riskbasis riskmultivariate approachnational and insured mortality rates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Mathematical geography and demography (91D20)

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