Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
Where mortality projection is concerned, it is essential to quantify the extent of the prediction error. This is especially important in light of the aggravating risk of longevity and as a result the increasing demand for longevity-linked products. In the literature so far, only parameter error and...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier BV
2015
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/46974 |