A subordinated Markov model for stochastic mortality

DOI10.1007/s13385-012-0047-3zbMath1273.91239MaRDI QIDQ2391941

Xiaoming Liu, X. Sheldon Lin

Publication date: 5 August 2013

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

Full work available at URL: https://doi.org/10.1007/s13385-012-0047-3

zbMATH Keywords

Markov model; ruin theory; queuing theory; stochastic mortality; mortality-linked securities; finite-state Markov process; aging process; general valuation framework

Mathematics Subject Classification ID

91B70: Stochastic models in economics

91G20: Derivative securities (option pricing, hedging, etc.)

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