Volterra mortality model: Actuarial valuation and risk management with long-range dependence

Wang, L; Chiu, MC; Wong, HY

Wong, HY (corresponding author), Chinese Univ Hong Kong, Dept Stat, Shatin, Hong Kong, Peoples R China.

INSURANCE MATHEMATICS & ECONOMICS, 2021; 96 (): 1

Abstract

While abundant empirical studies support the long-range dependence (LRD) of mortality rates, the corresponding impact on mortality securities is large......

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