Mortality modelling with Lévy processes
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Publication:939382
DOI10.1016/j.insmatheco.2007.05.007zbMath1141.91516OpenAlexW2087123051MaRDI QIDQ939382
Pierre Devolder, Donatien Hainaut
Publication date: 22 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.05.007
Related Items (28)
Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models ⋮ Stochastic Mortality Models and Pandemic Shocks ⋮ Dynamic bivariate mortality modelling ⋮ A proposition of generalized stochastic Milevsky–Promislov mortality models ⋮ Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes ⋮ Model-independent price bounds for catastrophic mortality bonds ⋮ Modelling distributed decision-making in command and control using stochastic network synchronisation ⋮ Lifetime asset allocation with idiosyncratic and systematic mortality risks ⋮ Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk ⋮ Multi-population mortality modeling with Lévy processes ⋮ Impact of rough stochastic volatility models on long-term life insurance pricing ⋮ A calendar year mortality model in continuous time ⋮ Survival energy models for mortality prediction and future prospects ⋮ Research on CDS pricing model with endogenous recovery rate ⋮ Asymptotic identity in min-plus algebra: a report on CPNS ⋮ Pricing of equity indexed annuity under fractional Brownian motion model ⋮ Stochastic mortality models: an infinite-dimensional approach ⋮ An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation ⋮ Valuation of equity-indexed annuity under stochastic mortality and interest rate ⋮ On the robustness of longevity risk pricing ⋮ The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds ⋮ Modeling mortality and pricing life annuities with Lévy processes ⋮ Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform ⋮ Efficient simulation of Lévy-driven point processes ⋮ Multivariate tempered stable random fields ⋮ Modelling and management of mortality risk: a review ⋮ Price bounds of mortality-linked security in incomplete insurance market ⋮ Hedging Longevity Risk When Interest Rates are Uncertain
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