Multi-population mortality modeling with Lévy processes

DOI10.1007/S10203-023-00400-6MaRDI QIDQ6089413FDOQ6089413

Authors: Petar Jevtić, Chengwei Qin, Hongjuan Zhou 

Publication date: 17 November 2023

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

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zbMATH Keywords

generalized linear modelsmulti-population mortality modelLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Mathematical geography and demography (91D20) Actuarial mathematics (91G05)

Cites Work

• Modeling and forecasting U.S. mortality. (With discussion)
• Title not available (Why is that?)
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• An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
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• Coherent mortality forecasting with generalized linear models: a modified time-transformation approach
• Bayesian Poisson log-bilinear models for mortality projections with multiple populations
• Heuristic optimisation in financial modelling
• Longevity risk and capital markets: the 2019--20 update
• Smoothing Poisson common factor model for projecting mortality jointly for both sexes
• Lévy CARMA models for shocks in mortality

Cited In (5)

• Quickest drift change detection in Lévy-type force of mortality model
• Multivariate L\'evy-type drift change detection and mortality modeling
• Multi-population mortality models: a factor copula approach
• Multi-population mortality modelling: a Bayesian hierarchical approach
• Stochastic mortality model with respect to mixed fractional Poisson process: calibration and empirical analysis of long-range dependence in actuarial valuation

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