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Bayesian Vine Copulas for Modelling Mortality Dependence and Pricing Mortality-Linked Securities

  • Li, Jackie (Primary Chief Investigator)
  • Pitt, David (Chief Investigator)
  • Li, Han (Chief Investigator)

Project: Research

Project Details

Description

In this project, we will investigate the potential use of vine copulas under the Bayesian framework in modelling the relationships between the mortality of multiple countries and pricing mortality CAT bonds.
StatusFinished
Effective start/end date7/11/19 → 6/11/20