Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
From MaRDI portal
Publication:661233
DOI10.1016/j.insmatheco.2010.05.004zbMath1231.91441MaRDI QIDQ661233
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.05.004
Lee-Carter model; cohort effects; Cairns-Blake-Dowd model; canonical valuation; mortality-linked securities
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Uses Software
Cites Work
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