Quadratic stochastic intensity and prospective mortality tables

DOI10.1016/j.insmatheco.2008.05.010zbMath1140.91418OpenAlexW1985301764MaRDI QIDQ938051

Christian Gouriéroux, Alain Monfort

Publication date: 18 August 2008

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

Full work available at URL: http://crest.science/RePEc/wpstorage/2007-30.pdf

zbMATH Keywords

Kalman filterlife insurancelongevity riskquadratic modelaffine modelmortality linked securities (MLS)mortality table

Mathematics Subject Classification ID

Related Items (9)

Longevity risk and capital markets: the 2015--16 update ⋮ Securitizing and tranching longevity exposures ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ A quadratic Kalman filter ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ BILINEAR TERM STRUCTURE MODEL ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Understanding, modelling and managing longevity risk: key issues and main challenges

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