A subordinated Markov model for stochastic mortality

DOI10.1007/S13385-012-0047-3MaRDI QIDQ2391941zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Stochastic modelling of mortality and financial markets
• Markov aging process and phase-type law of mortality
• Models for stochastic mortality
• Modeling stochastic mortality for joint lives through subordinators
• On stochastic mortality modeling

Cites work

• scientific article; zbMATH DE number 4013703 (Why is no real title available?)
• scientific article; zbMATH DE number 846103 (Why is no real title available?)
• A Markov Model for Analysing Cancer Markers and Disease States in Survival Studies
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Affine processes for dynamic mortality and actuarial valuations
• Guaranteed Annuity Options
• Lee-Carter mortality forecasting with age-specific enhancement.
• Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
• Modeling and forecasting U.S. mortality. (With discussion)
• Modeling and management of mortality risk: a review
• Mortality Change and Forecasting
• Mortality derivatives and the option to annuitise.
• Mortality-dependent financial risk measures
• On systematic mortality risk and risk-minimization with survivor swaps
• Option Pricing With V. G. Martingale Components¹
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Ruin probabilities
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Survival models in a dynamic context: a survey
• The Variance Gamma Process and Option Pricing
• The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
• Valuation and hedging of life insurance liabilities with systematic mortality risk

Cited in

(12)

• Markov aging process and phase-type law of mortality
• Heterogeneity in mortality: a survey with an actuarial focus
• Multi-state models for evaluating conversion options in life insurance
• The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates
• Markov mortality models: implications of quasistationarity and varying initial distributions
• Application of the Markov chains in the prediction of the mortality rates in the generalized stochastic Milevsky-Promislov model
• Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality
• Modeling stochastic mortality for joint lives through subordinators
• A note on order statistics in the mixed Erlang case
• Modeling the effect of health: phase-type approach
• Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models
• Retirement spending and biological age

This page was built for publication: A subordinated Markov model for stochastic mortality

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2391941)