Mean reversion in stochastic mortality: why and how?

DOI10.1007/S13385-020-00237-YzbMath1455.91231OpenAlexW3038933743MaRDI QIDQ2219628

Pierre Devolder, Fadoua Zeddouk

Publication date: 20 January 2021

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://dial.uclouvain.be/pr/boreal/fr/object/boreal%3A219343/datastream/PDF_01/view

zbMATH Keywords

mean reversionstochastic mortalityaffine process

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)

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Cites Work

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• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• An Intertemporal General Equilibrium Model of Asset Prices
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Improving the Forecast of Longevity by Combining Models
• On Distributions of Certain Wiener Functionals

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