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ArticleMortality surface by means of continuous time cohort models

Petar Jevtić2013

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Articlegreen2013

Mortality surface by means of continuous time cohort models

Petar Jevtić · Elisa Luciano · Elena Vigna

44 citations·0/0 files stored·Insurance Mathematics and Economics

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Insurance, Mortality, Demography, Risk Management Stochastic processes and financial applications Probability and Risk Models

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References

2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1992Modeling and Forecasting U. S. Mortality 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration 2006Interest rate models : theory and practice : with smile, inflation and credit 2002A Poisson log-bilinear regression approach to the construction of projected lifetables 2003Lee–Carter mortality forecasting with age-specific enhancement 2005Affine processes for dynamic mortality and actuarial valuations 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk

Cited by

2020Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?2019A continuous-time stochastic model for the mortality surface of multiple populations 2019Continuous-time multi-cohort mortality modelling with affine processes 2022Stochastic mortality dynamics driven by mixed fractional Brownian motion 2020Volterra Mortality Model: Actuarial Valuation and Risk Management with Long-Range Dependence

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Details

Year2013

Typearticle

Published2013-04-26

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations44

Files0 public / 0

ShelfInsurance, Mortality, Demography, Risk Management

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doi10.1016/j.insmatheco.2013.04.005

openalex_workW2074545309

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2020Cohort and value-based multi-country longevity risk management

2017A class of random field memory models for mortality forecasting

2015MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE