Continuous-time multi-cohort mortality modelling with affine processes

DOI10.1080/03461238.2019.1696223zbMath1448.91270OpenAlexW2991921193WikidataQ126620682 ScholiaQ126620682MaRDI QIDQ5123186

Yajing Xu, Michael Sherris, Jonathan Ziveyi

Publication date: 28 September 2020

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

Full work available at URL: https://doi.org/10.1080/03461238.2019.1696223

zbMATH Keywords

common factorsmortality projectionsaffine frameworkcohort-specific factorsmulti-cohort mortality model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Estimation in survival analysis and censored data (62N02) Mathematical geography and demography (91D20) Actuarial mathematics (91G05)

Related Items (5)

Semiparametric Regression for Dual Population Mortality ⋮ A Mortality Model for Pandemics and Other Contagion Events ⋮ Pricing extreme mortality risk in the wake of the COVID-19 pandemic ⋮ A calendar year mortality model in continuous time ⋮ Pricing guaranteed annuity options in a linear-rational Wishart mortality model

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