A subordinated Markov model for stochastic mortality

DOI10.1007/s13385-012-0047-3zbMath1273.91239OpenAlexW3121299065MaRDI QIDQ2391941

Xiaoming Liu, X. Sheldon Lin

Publication date: 5 August 2013

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-012-0047-3

zbMATH Keywords

Markov modelruin theoryqueuing theorystochastic mortalitymortality-linked securitiesfinite-state Markov processaging processgeneral valuation framework

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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