Green nested simulation via likelihood ratio: Applications to longevity risk management
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DOI: 10.1016/j.insmatheco.2022.07.004
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More about this item
Keywords
Likelihood ratio method; Mortality-linked securities; Nested simulation; The Lee-Carter model; Value hedges;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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