Lévy CARMA models for shocks in mortality

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

zbMATH Keywords

Lévy processforce of mortalityCARMA(pq) model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05)

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

• YUIMA

Cites Work

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• 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

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