Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk

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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...

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Bibliographic Details
Main Authors:	Yang, B., Li, Ka Ki Jackie, Balasooriya, U.
Format:	Journal Article
Published:	Elsevier BV 2015
Subjects:	Risk-neutral pricing Longevity risk Model error Bootstrapping Maximum entropy method
Online Access:	http://hdl.handle.net/20.500.11937/46974

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