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Article: Regime-switching pure jump processes and applications in the valuation of mortality-linked products

TitleRegime-switching pure jump processes and applications in the valuation of mortality-linked products
Authors
KeywordsLongevity bond
Markov chain
multiple-life model
shot noise process with regime switching
Issue Date2016
PublisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03610926.asp
Citation
Communications in Statistics: Theory and Methods, 2016 How to Cite?
Persistent Identifierhttp://hdl.handle.net/10722/249692
ISSN
2020 Impact Factor: 0.893
2015 SCImago Journal Rankings: 0.518
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorDong, Y-
dc.contributor.authorYuen, KC-
dc.contributor.authorWang, G-
dc.date.accessioned2017-11-21T03:05:41Z-
dc.date.available2017-11-21T03:05:41Z-
dc.date.issued2016-
dc.identifier.citationCommunications in Statistics: Theory and Methods, 2016-
dc.identifier.issn0361-0926-
dc.identifier.urihttp://hdl.handle.net/10722/249692-
dc.languageeng-
dc.publisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03610926.asp-
dc.relation.ispartofCommunications in Statistics: Theory and Methods-
dc.rightsThis is an electronic version of an article published in [include the complete citation information for the final version of the article as published in the print edition of the journal]. [JOURNAL TITLE] is available online at: http://www.informaworld.com/smpp/ with the open URL of your article.-
dc.subjectLongevity bond-
dc.subjectMarkov chain-
dc.subjectmultiple-life model-
dc.subjectshot noise process with regime switching-
dc.titleRegime-switching pure jump processes and applications in the valuation of mortality-linked products-
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.identifier.doi10.1080/03610926.2017.1319483-
dc.identifier.scopuseid_2-s2.0-85029689096-
dc.identifier.hkuros283123-
dc.identifier.isiWOS:000423714800006-
dc.publisher.placeUnited States-
dc.identifier.issnl0361-0926-

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