A subordinated Markov model for stochastic mortality

DOI10.1007/S13385-012-0047-3zbMATH Open1273.91239OpenAlexW3121299065MaRDI QIDQ2391941FDOQ2391941

Authors: 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

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zbMATH Keywords

Markov modelqueuing theorystochastic mortalityruin theorymortality-linked securitiesfinite-state Markov processaging processgeneral valuation framework

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70)

Cites Work

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Cited In (9)

• The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multistate Latent Factor Model for Transition Rates
• Heterogeneity in mortality: a survey with an actuarial focus
• Multi-state models for evaluating conversion options in life insurance
• Markov mortality models: implications of quasistationarity and varying initial distributions
• Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality
• A note on order statistics in the mixed Erlang case
• Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models
• Modeling the effect of health: phase-type approach
• Retirement spending and biological age

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