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Modeling pandemic mortality risk and its application to mortality-linked security pricing
To provide insights for how to deal with pandemic mortality risk, this article introduces a mortality model that depicts the relevant pandemic effects on pricing mortality-linked securities, using a threshold jump approach. That is, to capture pandemic mortality dynamics across countries, we conside...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier B.V.
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9272589/ https://www.ncbi.nlm.nih.gov/pubmed/35847658 http://dx.doi.org/10.1016/j.insmatheco.2022.06.002 |