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Modeling Mortality with Jumps: Transitory Effects and Pricing Implication to Mortality Securitization
paper incorporates a jump-diffusion process into the original Lee-Carter model, and uses it to forecast ... securitization. Hedge funds;Mortality modeling;Mortality risk; 14328 1/1/2008 12:00:00 AM ...- Authors: Samuel Cox, Hua Chen
- Date: Jan 2008
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Systemic risk; Modeling & Statistical Methods>Stochastic models