Amsterdam, 1018 WB
University of Amsterdam - Faculty of Economics and Business (FEB)
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SAHARA utility, optimal consumption and investment, dual approach
stochastic mortality; structural changes; mortality forecasting; backtesting
Minimal entropy martingale measure, relative entropy, financial risks, actuarial risks, independence, incomplete markets.
Bayesian analysis, portfolio-specific mortality, mortality experience, random effects, smoothing prior, simultaneous modelling
Optimal consumption, portfolio selection, longevity risk, CIR process, Laplace transform
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