Lévy CARMA models for shocks in mortality
From MaRDI portal
Publication:2331010
DOI10.1007/s10203-019-00248-9zbMath1426.91222OpenAlexW2941346498MaRDI QIDQ2331010
Edit Rroji, Asmerilda Hitaj, Lorenzo Mercuri
Publication date: 23 October 2019
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-019-00248-9
Related Items (3)
Multi-population mortality modeling with Lévy processes ⋮ Locally-coherent multi-population mortality modelling via neural networks ⋮ Finite Mixture Approximation of CARMA(p,q) Models
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Tempered stable distributions and processes
- Modeling and Forecasting U.S. Mortality
- Approximation of the variance gamma model with a finite mixture of normals
- Modeling mortality and pricing life annuities with Lévy processes
- Implementation of Lévy CARMA model in \texttt{yuima} package
- Monte Carlo option pricing for tempered stable (CGMY) processes
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
- Term Structure Models Driven by General Levy Processes
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- Mixed tempered stable distribution
- Representations of continuous-time ARMA processes
- Estimation for Non-Negative Lévy-Driven CARMA Processes
- Lévy-driven CARMA processes
This page was built for publication: Lévy CARMA models for shocks in mortality