Mortality regimes and longevity risk in a life annuity portfolio
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03461238.2014.882860
Reference23 articles.
1. Ang, A. & Bekaert, G. (1998).Regime switches in interest rates. Technical report, National Bureau of Economic Research.
2. Ang, A. & Timmermann, A. (2011).Regime changes and financial markets. Technical report, National Bureau of Economic Research.
3. Valuing Options in Regime-Switching Models
4. A Poisson log-bilinear regression approach to the construction of projected lifetables
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