Modeling stochastic mortality for joint lives through subordinators

DOI10.1016/J.INSMATHECO.2020.07.010MaRDI QIDQ2212170zbMATH OpenOpenAlexFDO

Authors Yu-Xin Zhang, Patrick L. Brockett

Publication date 19 November 2020

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2020.07.010

zbMATH Keywords

joint livesmortality ratestochastic processsubordinatorsurvival

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Mathematical geography and demography (91D20) Actuarial mathematics (91G05)

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Cites work

• A Concordance Test for Independence in the Presence of Censoring
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• Bivariate Survival Models for Coupled Lives
• Credit risk modeling using time-changed Brownian motion
• Empirical evidence on the use of credit scoring for predicting insurance losses with psycho-social and biochemical explanations
• General bivariate Makeham laws
• Kaplan-Meier estimate on the plane
• Modeling and forecasting mortality rates
• Modelling stochastic mortality for dependent lives
• Multivariate time changes for Lévy asset models: characterization and calibration
• On Cox processes and credit risky securities
• On the preservation of copula structure under truncation
• Types of dependence and time-dependent association between two lifetimes in single parameter copula models

Cited in

(5)

• Dynamic bivariate mortality modelling
• A subordinated Markov model for stochastic mortality
• Two hybrid models for dependent death times of couple: a common shock approach
• Joint mortality models based on subordinated linear hypercubes
• A stochastic framework for ruin probabilities under time-changed Brownian motion

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