Articlegreen2009

Stochastic mortality under measure changes

Enrico Biffis · Michel M. Denuit · Pierre Devolder

102 citations0/0 files storedScandinavian Actuarial Journal

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

Abstract

We provide a self-contained analysis of a class of continuous-time stochastic mortality models that have gained popularity in the last few years. We describe some of their advantages and limitations, examining whether their features survive equivalent changes of measures. This is important when using the same model for both market-consistent valuation and risk management of life insurance liabilities. We provide a numerical example based on the calibration to the French annuity market of a risk-neutral version of the model proposed by Lee and Carter (1992).

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References

2005Stochastic Integration and Differential Equations 1993Dynamic Asset Pricing Theory.1992Modeling and Forecasting U. S. Mortality 1999Stochastic controls : Hamiltonian systems and HJB equations 1981Point Processes and Queues 1999Stochastic Controls 1998On cox processes and credit risky securities 1983Point Processes and Queues: Martingale Dynamics.

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