Tao Sun

Independent

SCHOLARLY PAPERS

2

DOWNLOADS

282

TOTAL CITATIONS

12

Scholarly Papers (2)

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1.

Multi-Population Mortality Models: A Factor Copula Approach

Insurance: Mathematics and Economics, Forthcoming, Fox School of Business Research Paper No. 15-052
Number of pages: 42 Posted: 31 Dec 2014 Last Revised: 16 Dec 2016
Hua Chen, Richard D. MacMinn and Tao Sun
University of Hawaii at Manoa, National Chengchi University and Independent
Downloads 168 (355,175)
Citation 10

Abstract:

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Multi-population mortality model, factor copulas, maximum entropy principle, mortality/longevity risk pricing and hedging

2.

Living with Ambiguity: Pricing Mortality-Linked Securities with Smooth Ambiguity Preferences

Journal of Risk and Insurance, Forthcoming
Number of pages: 40 Posted: 18 Feb 2012 Last Revised: 01 Apr 2014
Hua Chen, Michael Sherris, Tao Sun and Wenge Zhu
University of Hawaii at Manoa, UNSW Business School, Independent and Shanghai University of Finance and Economics
Downloads 114 (483,937)
Citation 2

Abstract:

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ambiguity, ambiguity aversion, mortality-linked securities