most citedVolterra mortality model: Actuarial valuation and risk management with long-range dependence

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q-fin.MF2020★ 4 cited

Volterra mortality model: Actuarial valuation and risk management with long-range dependence

Ling Wang, Mei Choi Chiu, Hoi Ying Wong

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…