Stochastic modeling of assets and liabilities with mortality risk

DOI10.1080/03461238.2021.1873176zbMath1481.91161arXiv2005.09974OpenAlexW3119461413MaRDI QIDQ5014494

Teemu Pennanen, Sergio Alvares Maffra, John Armstrong

Publication date: 8 December 2021

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

Full work available at URL: https://arxiv.org/abs/2005.09974

zbMATH Keywords

stochastic differential equationsfitting of stochastic models

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99) Actuarial mathematics (91G05)

Uses Software

• Human Mortality

Cites Work

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• Modeling and Forecasting U.S. Mortality
• A new family of power transformations to improve normality or symmetry
• Stochastic modelling of mortality and financial markets
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Modeling assets and liabilities of a finnish pension insurance company: a VEqC approach
• A General Procedure for Constructing Mortality Models

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