Mortality modelling with Lévy processes

DOI10.1016/J.INSMATHECO.2007.05.007MaRDI QIDQ939382zbMATH OpenOpenAlexFDO

Authors Donatien Hainaut, Pierre Devolder

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

zbMATH Keywords

longevity riskLévy processesstochastic mortality

Mathematics Subject Classification ID

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Cites work

• Affine processes for dynamic mortality and actuarial valuations
• Affine stochastic mortality
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
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• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Point processes and queues. Martingale dynamics
• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Stochastic mortality under measure changes
• Stochastic Mortality: The Impact on Target Capital
• Term structure models driven by general Lévy processes
• Uncertainty in mortality projections: an actuarial perspective
• Valuation and hedging of life insurance liabilities with systematic mortality risk

Cited in

(40)

• Pricing of equity indexed annuity under fractional Brownian motion model
• Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk
• Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds
• Multivariate tempered stable random fields
• Dynamic bivariate mortality modelling
• Modelling distributed decision-making in command and control using stochastic network synchronisation
• Research on CDS pricing model with endogenous recovery rate
• Quickest drift change detection in Lévy-type force of mortality model
• The survival probability of mortality intensity with jump-diffusion
• Model-independent price bounds for catastrophic mortality bonds
• Modeling and management of mortality risk: a review
• Hedging Longevity Risk When Interest Rates are Uncertain
• Models for stochastic mortality
• Critères macroéconomiques actuariels et processus de Paul Lévy
• A proposition of generalized stochastic Milevsky-Promislov mortality models
• Lifetime asset allocation with idiosyncratic and systematic mortality risks
• Stochastic mortality models: an infinite-dimensional approach
• The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
• Modeling mortality and pricing life annuities with Lévy processes
• On the Structure and Classification of Mortality Models
• Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models
• Stochastic Mortality Models and Pandemic Shocks
• Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes
• Efficient simulation of Lévy-driven point processes
• Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform
• Mortality modeling using probability distributions. APPLICATION in greek mortality data
• Multi-population mortality modeling with Lévy processes
• Impact of rough stochastic volatility models on long-term life insurance pricing
• A calendar year mortality model in continuous time
• Survival energy models for mortality prediction and future prospects
• Asymptotic identity in min-plus algebra: a report on CPNS
• An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation
• Valuation of equity-indexed annuity under stochastic mortality and interest rate
• On the robustness of longevity risk pricing
• Stochastic mortality model with respect to mixed fractional Poisson process: calibration and empirical analysis of long-range dependence in actuarial valuation
• Equity-linked annuity valuation under fractional jump-diffusion financial and mortality models
• Distribution of big claims in a Lévy insurance risk process: Analytics of a new non-parametric estimator
• Insurance risk theory and statistical inference: beyond
• Price bounds of mortality-linked security in incomplete insurance market
• Estimating the term structure of mortality

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