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AbstractMetamodeling techniques have recently been proposed to address the computational issues related to the valuation of large portfolios of variable annuity contracts. However, it is extremely diffcult, if not impossible, for researchers to obtain real datasets frominsurance companies in...
AbstractWe present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard models as special cases. The loss...
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