Stochastic mortality model with respect to mixed fractional Poisson process: calibration and empirical analysis of long-range dependence in actuarial valuation

Cites Work

Unnamed Item
Unnamed Item
Modeling and Forecasting U.S. Mortality
On Cox processes and credit risky securities
Delta-gamma hedging of mortality and interest rate risk
Fractional Poisson process. II
Affine processes for dynamic mortality and actuarial valuations
Transformation formulas for fractional Brownian motion
Mortality modelling with Lévy processes
Regular dependence on initial data for stochastic evolution equations with multiplicative Poisson noise
Fractional Poisson process
Mortality derivatives and the option to annuitise.
Affine processes and applications in finance
Poisson fractional processes
Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
Stochastic mortality dynamics driven by mixed fractional Brownian motion
A continuous-time stochastic model for the mortality surface of multiple populations
Affine Volterra processes
Estimation of parameters in the fractional compound Poisson process
Donsker type theorem for fractional Poisson process
Assessing the solvency of insurance portfolios via a continuous-time cohort model
Affine representations of fractional processes with applications in mathematical finance
A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates
Consistent dynamic affine mortality models for longevity risk applications
Mortality surface by means of continuous time cohort models
Nonhomogeneous fractional Poisson processes
A cohort-based extension to the Lee-Carter model for mortality reduction factors
Volterra mortality model: actuarial valuation and risk management with long-range dependence
Properties of integrals with respect to fractional Poisson processes with compact kernels
Fractional Lévy Processes as a Result of Compact Interval Integral Transformation
A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES
Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk
Uncertainty in mortality projections: an actuarial perspective
Multi-population mortality modeling with Lévy processes
Parameter estimation for a discrete time model driven by fractional Poisson process

This page was built for publication: Stochastic mortality model with respect to mixed fractional Poisson process: calibration and empirical analysis of long-range dependence in actuarial valuation