Assessing the Impact of Geopolitical Risk on Longevity Bond Pricing: Insights from Bayesian Multivariate Regression
Abstract This paper investigates the multivariate pricing of coupon longevity bonds (CLBs) using the Fama–French–Lee–Carter (FF–LC) five-vector model in the framework of Bayesian integrated nested Laplace approximation (INLA) in the presence of geopolitical risk (GPR). The variance-covariance and co...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Springer
2024-12-01
|
| Series: | Journal of Statistical Theory and Applications (JSTA) |
| Subjects: | |
| Online Access: | https://doi.org/10.1007/s44199-024-00088-6 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|