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  • Pricing Mortality-linked Securities with Dependent Lives Under the Multivariate Threshold Life Table
    Pricing Mortality-linked Securities with Dependent Lives Under the Multivariate Threshold Life Table This ... pricing mortality-linked securities with dependent lives under the multivariate threshold life table. Abstract; ...

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    • Authors: Samuel Cox, Hua Chen, Wen Jian
    • Date: Jul 2010
  • Modeling Mortality with Jumps: Transitory Effects and Pricing Implication to Mortality Securitization
    Modeling Mortality with Jumps: Transitory Effects and Pricing Implication to Mortality Securitization ... to forecast mortality rates and analyze mortality securitization. Hedge funds;Mortality modeling;Mortality ...

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    • Authors: Samuel Cox, Hua Chen
    • Date: Jan 2008
    • Competency: External Forces & Industry Knowledge
    • Topics: Enterprise Risk Management>Systemic risk; Modeling & Statistical Methods>Stochastic models
  • An Option-Based Operational Risk Management on Pandemics
    under the attack of an influenza pandemic. Let ( )S t be the fraction of employees that has an infectious ... disease at time t . It is obvious that ( ) [0,1]S t ∈ , where 0S = denotes nobody is infected in the ...

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    • Authors: Samuel Cox, Hua Chen
    • Date: Jan 2008
    • Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
    • Topics: Enterprise Risk Management>Operational risks