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
Changes of Relation in Multi-Population Mortality Dependence: An Application of Threshold VECM
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DOI: 10.3390/risks7010014
Abstract: Standardized longevity risk transfers often involve modeling mortality rates of multiple populations. Some researchers have found that mortality indexes of selected countries are cointegrated, meaning that a linear relationship exists between the indexes. Vector error… read more here.
Keywords: mortality indexes; mortality dependence; mortality; equilibrium ... See more keywords