Mortality modelling with Lévy processes

From MaRDI portal
Revision as of 17:58, 30 January 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:939382

DOI10.1016/j.insmatheco.2007.05.007zbMath1141.91516OpenAlexW2087123051MaRDI QIDQ939382

Pierre Devolder, Donatien Hainaut

Publication date: 22 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.05.007




Related Items (28)

Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality modelsStochastic Mortality Models and Pandemic ShocksDynamic bivariate mortality modellingA proposition of generalized stochastic Milevsky–Promislov mortality modelsValuation of contingent claims with stochastic interest rate and mortality driven by Lévy processesModel-independent price bounds for catastrophic mortality bondsModelling distributed decision-making in command and control using stochastic network synchronisationLifetime asset allocation with idiosyncratic and systematic mortality risksValuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality riskMulti-population mortality modeling with Lévy processesImpact of rough stochastic volatility models on long-term life insurance pricingA calendar year mortality model in continuous timeSurvival energy models for mortality prediction and future prospectsResearch on CDS pricing model with endogenous recovery rateAsymptotic identity in min-plus algebra: a report on CPNSPricing of equity indexed annuity under fractional Brownian motion modelStochastic mortality models: an infinite-dimensional approachAn additive stochastic model of mortality rates: an application to longevity risk in reserve evaluationValuation of equity-indexed annuity under stochastic mortality and interest rateOn the robustness of longevity risk pricingThe age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bondsModeling mortality and pricing life annuities with Lévy processesModeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher TransformEfficient simulation of Lévy-driven point processesMultivariate tempered stable random fieldsModelling and management of mortality risk: a reviewPrice bounds of mortality-linked security in incomplete insurance marketHedging Longevity Risk When Interest Rates are Uncertain



Cites Work




This page was built for publication: Mortality modelling with Lévy processes