Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 1 of 1 for “"Markovian regime-switching models"”.
-
Annuity Product Valuation and Risk Measurement under Correlated Financial and Longevity Risks
… and correlation on an annuity product. A regime-switching approach to address nonlinearity is embedded both in the Lee-Carter model for mortality rate modelling and prediction, and in the Vasicek model for capturing interest-rate movements. In the valuation and computation of risk measures …