Results 11 to 20 of about 38,865 (202)
Modelling Stochastic Bivariate Mortality [PDF]
SSRN Electronic Journal, 2006 Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining increasing reputation as a way to represent mortality risk. This paper represents a first attempt to model the mortality risk of couples of individuals, according to the stochastic intensity approach.\ud \ud On the theoretical side, we extend to ...
Luciano, E., Spreeuw, J., Vigna, E.
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Stochastic Mortality, Macroeconomic Risks, and Life Insurer Solvency [PDF]
SSRN Electronic Journal, 2009 Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index k t in the lee–carter model, we develop a dynamic asset-liability model to assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in this stochastic simulation framework are driven by a
Katja Hanewald +2 more
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Affine Stochastic Mortality [PDF]
SSRN Electronic Journal, 2004 The author proposes a new model for mortality intensity. The approach is based on the observation that if the mortality intensity is an affine function of a number of latent factors, the survival and death probabilities are known in closed form.
David Schrager, Schrager, D.F.
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Modelling stochastic mortality for dependent lives [PDF]
Insurance: Mathematics and Economics, 2008 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Elisa Luciano, Jaap Spreeuw, Elena Vigna
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StMoMo: An R Package for Stochastic Mortality Modeling [PDF]
Journal of Statistical Software, 2018 In this paper we mirror the framework of generalized (non-)linear models to define the family of generalized age-period-cohort stochastic mortality models which encompasses the vast majority of stochastic mortality projection models proposed to date ...
Andrés M. Villegas +2 more
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A Square-Root Factor-Based Multi-Population Extension of the Mortality Laws
Mathematics, 2021 In this paper, we present and calibrate a multi-population stochastic mortality model based on latent square-root affine factors of the Cox-Ingersoll and Ross type.
Petar Jevtić, Luca Regis
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Mathematics, 2023 In recent times, there has been a notable global phenomenon characterized by a double predicament arising from the concomitant rise in worldwide life expectancy and a significant decrease in birth rates.
Daniel dos Santos Baptista +1 more
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Heliyon, 2021 Mortality and mortality rate have become the major issues in insurance industries, for instance, life insurance and pension fund. Such industries will, in particular, be concerned with the quantification of risk attached, say longevity risk, to insurance
Khreshna Syuhada, Arief Hakim
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Stochastic Modelling of Mortality and Financial Markets [PDF]
SSRN Electronic Journal, 2011 The uncertain future development of mortality and financial markets affects the operation of every life insurer. In particular, the joint distribution of mortality and investment returns is crucial in pricing and hedging of mortality-linked securities and other life insurance products.
Pennanen, Teemu, Aro, Helena
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Mean reversion in stochastic mortality: why and how? [PDF]
European Actuarial Journal, 2020 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fadoua Zeddouk, Pierre Devolder
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