Modeling mortality and pricing life annuities with Lévy processes
From MaRDI portal
Publication:495501
DOI10.1016/j.insmatheco.2015.06.008zbMath1348.62229OpenAlexW2209255771MaRDI QIDQ495501
Seyed Saeed Ahmadi, Patrice Gaillardetz
Publication date: 14 September 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.06.008
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Mathematical geography and demography (91D20)
Related Items
Multi-population mortality modeling with Lévy processes ⋮ Copula-based Markov process ⋮ Lévy CARMA models for shocks in mortality
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Modeling and Forecasting U.S. Mortality
- Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes
- Affine processes for dynamic mortality and actuarial valuations
- Mathematical methods for financial markets.
- Mortality modelling with Lévy processes
- Lee-Carter mortality forecasting with age-specific enhancement.
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
- Term Structure Models Driven by General Levy Processes
- Model Selection and Multimodel Inference
- Smoothing and forecasting mortality rates
- Financial Modelling with Jump Processes
- Lévy Processes and Stochastic Calculus
- Extending Lee–Carter Mortality Forecasting
- An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
This page was built for publication: Modeling mortality and pricing life annuities with Lévy processes
