The survival probability of mortality intensity with jump-diffusion

DOI10.1016/j.jkss.2008.06.001zbMath1293.60082OpenAlexW2032508175MaRDI QIDQ2510036

Hyun Suk Park

Publication date: 31 July 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2008.06.001

zbMATH Keywords

partial differential equationsurvival probabilityjump-diffusionsmortality intensity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Pricing credit derivatives under fractional stochastic interest rate models with jumps ⋮ Unnamed Item ⋮ The pricing of credit risky securities under stochastic interest rate model with default correlation. ⋮ The intensity model for pricing credit securities with jump diffusion and counterparty risk

Cites Work

• Unnamed Item
• Affine processes for dynamic mortality and actuarial valuations
• Mortality derivatives and the option to annuitise.
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Mortality Among the Elderly in Sweden 1988–1997
• Uncertainty in mortality projections: an actuarial perspective