Calibrating affine stochastic mortality models using term assurance premiums

DOI10.1016/j.insmatheco.2011.01.015zbMath1218.91093OpenAlexW2037883810MaRDI QIDQ2276259

Vincenzo Russo, Sergio Ortobelli, Frank J. Fabozzi, Svetlozar T. Rachev, Rosella Giacometti

Publication date: 1 August 2011

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.01.015

zbMATH Keywords

calibrationCox-Ingersoll-Ross modelVasicek modelmortality riskbootstrappingterm assuranceaffine stochastic modelsjump-extended Vasicek modelstochastic force of mortality

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

Related Items

Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models, The role of the dependence between mortality and interest rates when pricing guaranteed annuity options, Dynamic bivariate mortality modelling, A proposition of generalized stochastic Milevsky–Promislov mortality models, Hedging longevity risk in defined contribution pension schemes, Longevity risk and capital markets: the 2015--16 update, A Three-Factor Model for Mortality Modeling, Editorial: Longevity risk and capital markets: the 2013--14 update, Intensity-based framework for surrender modeling in life insurance, Longevity Risk and Capital Markets: The 2012–2013 Update, Constructing dynamic life tables with a single-factor model, Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances, Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities, Longevity risk and capital markets: the 2019--20 update, Longevity Risk and Capital Markets: The 2017–2018 Update, Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing

Cites Work

• Modeling and Forecasting U.S. Mortality
• A stochastic model for mortality rate on italian data
• Affine processes for dynamic mortality and actuarial valuations
• Interest rate models -- theory and practice. With smile, inflation and credit
• Mortality derivatives and the option to annuitise.
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• On the forecasting of mortality reduction factors
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
• Affine stochastic mortality
• A Theory of the Term Structure of Interest Rates
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• A Universal Framework for Pricing Financial and Insurance Risks
• Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
• Smoothing and forecasting mortality rates
• An equilibrium characterization of the term structure