Mortality modelling with Levy processes

被引：37
|
作者：
Hainaut, Donatien [1 ]
Devolder, Pierre [1 ]
机构：
[1] Univ Catholique Louvain, Inst Sci Actuarielles, B-1348 Louvain, Belgium
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2008年 / 42卷 / 01期
关键词：
stochastic mortality; longevity risk; Levy processes;
D O I：
10.1016/j.insmatheco.2007.05.007
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper addresses the modelling of human mortality by the aid of doubly stochastic processes with an intensity driven by a positive Levy process. We focus on intensities having a mean reverting stochastic component. Furthermore, driving Levy processes are pure jump processes belonging to the class of a-stable subordinators. In this setting, expressions of survival probabilities are inferred, the pricing is discussed and numerical applications to actuarial valuations are proposed. (C) 2008 Published by Elsevier B.V.
引用
收藏
页码：409 / 418
页数：10
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