Pricing Standardized Mortality Securitizations: A Two‐Population Model with Transitory Jump Effects

By Rui Zhou, Johnny Siu-Hang Li, Ken Seng Tan. 2013

67 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, General Health Professions

View Paper: https://www.semanticscholar.org/paper/24739363f079af397e4f431ef2b4613db357a18d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Rui Zhou
2. Mary R. Hardy
3. Johnny Siu-Hang Li
4. Andrew J. G. Cairns
5. Hailiang Yang
6. X. Lin
7. Guojun Gan
8. A. Ng

In Economics and Econometrics

1. Mary R. Hardy
2. Rui Zhou
3. Johnny Siu-Hang Li

In General Health Professions

1. Rui Zhou
2. Mary R. Hardy
3. Johnny Siu-Hang Li
4. Andrew J. G. Cairns

Citations in the corpus

• Multi-population mortality models: A factor copula approach (2015, unknown): “…Lee-Carter model Dowd et al. (2011): gravity model (see also Jarnerand Kryger 2011) Carins et al. (2011): framework for two-population models Zhou et al. (2013a): two-population Lee-Carter model with transitory jumps Yang and Wang (2013) and Zhou et al. (2013b): co-integration…”
• A step-by-step guide to building two-population stochastic mortality models (2015, methodology): “The likelihood functions for the case when there is only one pair of period effects can be found in the papers by Cairns et al. (2011) and Zhou et al. (2013).”