Results 131 to 140 of about 33,316 (165)
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Stochastic Control System for Mortality Benefits
Stochastic Analysis and Applications, 2009This article investigates a stochastic control model for a pension fund which provides a variable death benefit to its members during the post-retirement period. The main framework model is described by two correlated fractional Brownian motions which correspond to investment and mortality risks, accordingly.
Athanasios A. Pantelous +1 more
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Stochastic Forecast of Mortality Effects
SSRN Electronic Journal, 2011In this study we propose a stochastic mortality forecast model that may be viewed as a Levy process. First, age, period and cohort effects are objectively identified in a given matrix of historic mortality data. Next, these patterns are removed from the matrix of mortality improvement rates.
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Stochastic Mortality Models. Application to CR Mortality Data
2014The ageing process is a great challenge for many European countries, not excluding Czech Republic (CR) and it brings financial risk in areas such as social policy, pensions and health care. The motivation for this paper is to compare various mortality models. We have attempted to explain mortality improvements for males aged 62–90 in CR using a several
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A Stochastic Model for Mortality Rate on Italian Data
Journal of Optimization Theory and Applications, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
GIACOMETTI, Rosella +2 more
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Stochastic Portfolio Specific Mortality and the Quantification of Mortality Basis Risk
SSRN Electronic Journal, 2009zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Longevity: A ‘Simple’ Stochastic Modelling of Mortality
British Actuarial Journal, 2009ABSTRACTAll UK insurers exposed to longevity risk need to perform stress tests for their Individual Capital Assessment (ICA). Some have put in place deterministic models which are arguably too simple; others have developed stochastic models that can be demanding and complex.This paper presents a simple model to turn any deterministic mortality scenario
B. Browne, J. Duchassaing, F. Suter
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Analysis of Finnish and Swedish mortality data with stochastic mortality models
European Actuarial Journal, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The Stochastic Theory of Mortality*
Annals of the New York Academy of Sciences, 1962Sacher, G. A., Trucco, E.
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Stochastic Process Models of Mortality and Aging
2016A better understanding of relationships among human aging, health, and longevity requires integrative statistical methods capable of taking into account relevant knowledge accumulated in the field when extracting useful information from the data. In this chapter, we describe an approach to statistical analyses of longitudinal data based on the use of ...
Anatoliy I. Yashin +7 more
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