Modelling stochastic mortality for dependent lives

By Elisa Luciano, J. Spreeuw, Elena Vigna. 2008

116 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/f8fd484a8d0fd7aadb12d6a5a448ee732eb33786

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. Luca Regis
2. Elisa Luciano
3. Elena Vigna
4. Guohui Guan
5. Zongxia Liang
6. F. Menoncin

In Economics and Econometrics

1. Luca Regis
2. Elena Vigna
3. Elisa Luciano
4. Andrew J. Patton

In Management Science and Operations Research

1. Luca Regis
2. Elisa Luciano
3. Elena Vigna
4. Guohui Guan
5. Zongxia Liang
6. F. Menoncin

Citations in the corpus

• Delta–Gamma hedging of mortality and interest rate risk (2012, methodology): “In fact, they show that these models meet all but one of the criteria - motivated by Cairns, Blake, and Dowd (2006) - that a good mortality model should meet: 1. the model should be consistent with historical data: the calibrations of Luciano and Vigna (2008) show that the models meet this criterium”