Quadratic stochastic intensity and prospective mortality tables

DOI10.1016/J.INSMATHECO.2008.05.010MaRDI QIDQ938051zbMATH OpenOpenAlexFDO

Authors Christian Gouriéroux, Alain Monfort

Publication date 18 August 2008

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

Full work available at URL http://crest.science/RePEc/wpstorage/2007-30.pdf

zbMATH Keywords

affine modelKalman filterlife insurancelongevity riskmortality linked securities (MLS)mortality tablequadratic model

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• A Poisson log-bilinear regression approach to the construction of projected lifetables.
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• scientific article; zbMATH DE number 5635206 (Why is no real title available?)
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• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
• Statistical Inference about Markov Chains
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
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• Valuation and hedging of life insurance liabilities with systematic mortality risk

Cited in

(12)

• Longevity risk and capital markets: the 2015--16 update
• Longevity risk and capital markets: the 2019--20 update
• The survival probability of mortality intensity with jump-diffusion
• Understanding, modelling and managing longevity risk: key issues and main challenges
• Bilinear term structure model
• Editorial: Longevity risk and capital markets: the 2013--14 update
• A quadratic Kalman filter
• scientific article; zbMATH DE number 6971094 (Why is no real title available?)
• Longevity Risk and Capital Markets: The 2017–2018 Update
• Longevity Risk and Capital Markets: The 2012–2013 Update
• Efficiency in large dynamic panel models with common factors
• Securitizing and tranching longevity exposures

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