MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS
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DOI: 10.1017/asb.2019.10
Abstract: Abstract We propose a two-regime Markov switching copula to depict the evolution of mortality dependence. One regime represents periods of high dependence and the other regime represents periods of low dependence. Each regime features a… read more here.
Keywords: dependence regime; regime switching; mortality dependence; mortality ... See more keywords