Consistent dynamic affine mortality models for longevity risk applications

DOI10.1016/j.insmatheco.2013.04.007zbMath1284.91208OpenAlexW3123626202MaRDI QIDQ2445991

Michael Sherris, Craig Blackburn

Publication date: 15 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.04.007

zbMATH Keywords

Kalman filteraffinelongevity riskconsistentarbitrage-freemortality modelmulti-factorSwedish mortality

Mathematics Subject Classification ID

Related Items (22)

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