Continuous-time multi-cohort mortality modelling with affine processes

DOI10.1080/03461238.2019.1696223MaRDI QIDQ5123186zbMATH OpenOpenAlexWikidataFDO

Authors Yajing Xu, Michael Sherris, Jonathan Ziveyi

Publication date 28 September 2020

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2019.1696223

zbMATH Keywords

affine frameworkcohort-specific factorscommon factorsmortality projectionsmulti-cohort mortality model

Mathematics Subject Classification ID

Estimation in survival analysis and censored data (62N02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Mathematical geography and demography (91D20) Actuarial mathematics (91G05)

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Cites work

• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
• A theory of the term structure of interest rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Affine processes for dynamic mortality and actuarial valuations
• Affine stochastic mortality
• Basis risk in static versus dynamic longevity-risk hedging
• Consistent dynamic affine mortality models for longevity risk applications
• scientific article; zbMATH DE number 6971094 (Why is no real title available?)
• Modeling and forecasting U.S. mortality. (With discussion)
• Mortality surface by means of continuous time cohort models
• On age-period-cohort parametric mortality rate projections
• On systematic mortality risk and risk-minimization with survivor swaps
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Valuation and hedging of life insurance liabilities with systematic mortality risk

Cited in

(13)

• Mortality surface by means of continuous time cohort models
• Pricing extreme mortality risk in the wake of the COVID-19 pandemic
• Multi-population mortality models: a factor copula approach
• scientific article; zbMATH DE number 6971094 (Why is no real title available?)
• Semiparametric regression for dual population mortality
• A mortality model for pandemics and other contagion events
• A calendar year mortality model in continuous time
• Pricing guaranteed annuity options in a linear-rational Wishart mortality model
• Pricing and hedging of longevity basis risk through securitisation
• Pricing longevity bond with affine-jump-diffusion multi-cohort mortality model
• Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models
• Risk-sharing rules for mortality pooling products with stochastic and correlated mortality rates
• Optimal income drawdown and investment with longevity basis risk

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