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Optimal Expansion of Business Opportunity
The length of the waiting period is related to the opportunity cost, return, and risk of the expanded business.
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
We also use a numerical study to reveal the influence of LRD on equilibrium strategies.
Volterra mortality model: Actuarial valuation and risk management with long-range dependence
While abundant empirical studies support the long-range dependence (LRD) of mortality rates, the corresponding impact on mortality securities are largely unknown due to the lack of appropriate tractable models for valuation and risk management purposes.
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