Stochastic mortality dynamics driven by mixed fractional Brownian motion

DOI10.1016/j.insmatheco.2022.07.006zbMath1498.91374OpenAlexW4285098195MaRDI QIDQ2172043

Hongjuan Zhou, Kenneth Q. Zhou, Xianping Li

Publication date: 14 September 2022

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2022.07.006

zbMATH Keywords

long-range dependence directional derivative natural hedging stochastic mortality modeling mortality sensitivity

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Mathematical geography and demography (91D20) Actuarial mathematics (91G05)

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