Modeling mortality and pricing life annuities with Lévy processes

DOI10.1016/J.INSMATHECO.2015.06.008MaRDI QIDQ495501zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform
• Mortality modelling with Lévy processes
• Pricing longevity-linked derivatives using a stochastic mortality model
• Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
• Approximations for life annuity contracts in a stochastic financial environment
• Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes
• Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process
• A recursive approach to mortality-linked derivative pricing
• The determinants of mortality heterogeneity and implications for pricing annuities
• Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio

Cites work

• scientific article; zbMATH DE number 5522381 (Why is no real title available?)
• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 47310 (Why is no real title available?)
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Affine processes for dynamic mortality and actuarial valuations
• An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
• Extending Lee–Carter Mortality Forecasting
• Financial Modelling with Jump Processes
• Lee-Carter mortality forecasting with age-specific enhancement.
• Lévy Processes and Stochastic Calculus
• Mathematical methods for financial markets.
• Model Selection and Multimodel Inference
• Modeling and forecasting U.S. mortality. (With discussion)
• Mortality modelling with Lévy processes
• Smoothing and forecasting mortality rates
• Term structure models driven by general Lévy processes
• The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
• 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
• Copula-based Markov process
• Multi-population mortality modeling with Lévy processes
• Lévy CARMA models for shocks in mortality

This page was built for publication: Modeling mortality and pricing life annuities with Lévy processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q495501)