Modeling mortality and pricing life annuities with Lévy processes

DOI10.1016/J.INSMATHECO.2015.06.008zbMATH Open1348.62229OpenAlexW2209255771MaRDI QIDQ495501FDOQ495501

Authors: Seyed Saeed Ahmadi, Patrice Gaillardetz 

Publication date: 14 September 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.06.008

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zbMATH Keywords

generalized linear modelsgamma processvariance-gamma processforce of mortalityLévy subordinator

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Mathematical geography and demography (91D20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Modeling and forecasting U.S. mortality. (With discussion)
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• Financial Modelling with Jump Processes
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• A cohort-based extension to the Lee-Carter model for mortality reduction factors
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• Term structure models driven by general Lévy processes
• Smoothing and forecasting mortality rates
• Lee-Carter mortality forecasting with age-specific enhancement.
• Extending Lee–Carter Mortality Forecasting
• Mortality modelling with Lévy processes
• An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
• Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes

Cited In (5)

• Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
• Mortality modelling with Lévy processes
• Multi-population mortality modeling with Lévy processes
• Copula-based Markov process
• Lévy CARMA models for shocks in mortality

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