Mean reversion in stochastic mortality: why and how?

DOI10.1007/S13385-020-00237-YMaRDI QIDQ2219628zbMATH OpenOpenAlexFDO

Authors Fadoua Zeddouk, Pierre Devolder

Publication date 20 January 2021

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

Full work available at URL https://dial.uclouvain.be/pr/boreal/fr/object/boreal%3A219343/datastream/PDF_01/view

zbMATH Keywords

mean reversionstochastic mortalityaffine process

Mathematics Subject Classification ID

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

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Cites work

• Affine processes and applications in finance
• Affine processes for dynamic mortality and actuarial valuations
• An Intertemporal General Equilibrium Model of Asset Prices
• Improving the forecast of longevity by combining models
• Mortality derivatives and the option to annuitise.
• On Distributions of Certain Wiener Functionals
• Positivity of solution of nonhomogeneous stochastic differential equation with non-Lipschitz diffusion
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(11)

• Fair valuations of insurance policies under multiple risk factors: a flexible lattice approach
• Longevity risk and capital markets: the 2019--20 update
• Between DB and DC: optimal hybrid PAYG pension schemes
• Affine models with path-dependence under parameter uncertainty and their application in finance
• Mortality modeling and regression with matrix distributions
• Hedging longevity risk in defined contribution pension schemes
• Pricing and hedging of longevity basis risk through securitisation
• A calendar year mortality model in continuous time
• Pension funds with longevity risk: an optimal portfolio insurance approach
• Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products
• Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates

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