Dynamic modelling of life table data

DOI10.1002/ASM.3150110106MaRDI QIDQ4842349zbMATH OpenOpenAlexFDO

Authors Jacques Janssen, Christos H. Skiadas

Publication date 27 July 1995

Published in Applied Stochastic Models and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asm.3150110106

zbMATH Keywords

dynamic modellingfirst-passage-time densityhealth state functionhuman life table dataoption theorypension fundsstochastic simulation

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models
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• A geostatistical approach for dynamic life tables: the effect of mortality on remaining lifetime and annuities
• First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process
• Modelling life tables with advanced ages: an extreme value theory approach
• Exploring the state of a stochastic system via stochastic simulations: an interesting inversion problem and the health state function
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