Stochastic mortality models: an infinite-dimensional approach

DOI10.1007/s00780-013-0219-2zbMath1308.60065arXiv1907.05157OpenAlexW2147388844MaRDI QIDQ471180

Stefan Weber, Stefan Tappe

Publication date: 14 November 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.05157

zbMATH Keywords

Lévy processstochastic partial differential equationPoisson random measuredynamic point processHeath-Jarrow-Morton conditionsstochastic mortality models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random measures (60G57) Mathematical geography and demography (91D20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Statistical Estimation Techniques in Life and Disability Insurance—A Short Overview ⋮ Modeling the Risk in Mortality Projections ⋮ Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing ⋮ Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies ⋮ On the forward rate concept in multi-state life insurance

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Forward mortality and other vital rates - are they the way forward?
• Conditional independence, conditional mixing and conditional association
• Affine processes for dynamic mortality and actuarial valuations
• Mathematical methods for financial markets.
• A bidimensional approach to mortality risk
• Term-structure models. A graduate course
• Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
• Mortality modelling with Lévy processes
• Towards a general theory of bond markets
• Mortality derivatives and the option to annuitise.
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Affine stochastic mortality
• Stochastic Differential Equations in Infinite Dimensions
• Jump-diffusions in Hilbert spaces: existence, stability and numerics
• Stochastic mortality under measure changes
• Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• Modeling the Forward Surface of Mortality
• HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Credit risk: Modelling, valuation and hedging
• Stochastic Equations in Infinite Dimensions

This page was built for publication: Stochastic mortality models: an infinite-dimensional approach