Mortality modelling with Levy processes

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.