Browsing by Author "Park, Juhyun"

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2016-06-21Buch

A Mortality Model forMulti-populations

A Semi-Parametric Approach

Fang, Lei; Härdle, Wolfgang Karl; Park, Juhyun

Mortality is different across countries, states and regions. Several empirical research works however reveal that mortality trends exhibit a common pattern and show similar structures across populations. The key element ...
2009-08-20Buch

Shape invariant modelling pricing kernels and risk aversion

Grith, Maria; Härdle, Wolfgang Karl; Park, Juhyun

Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection ...