Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation-Reference-Cited by-同舟云学术

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Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation

Published:2024-11 Issue: Volume:119 Page:64-92
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Jiang Haoran,Zhang Zhehao^ORCID,Zhu Xiaojun

Funder

Fundamental Research Fund of Shandong University

Xi'an Jiaotong-Liverpool University

Innovative Research Group Project of the National Natural Science Foundation of China

Jiangsu Province Natural Science Foundation

National Outstanding Youth Science Fund Project of National Natural Science Foundation of China

Natural Science Research of Jiangsu Higher Education Institutions of China

Publisher

Elsevier BV

Reference48 articles.

1. Donsker type theorem for fractional Poisson process;Araya;Stat. Probab. Lett.,2019

2. Parameter estimation for a discrete time model driven by fractional Poisson process;Araya;Commun. Stat., Theory Methods,2021

3. Credit Risk Modeling, Valuation and Hedging;Bielecki,2004

4. Affine processes for dynamic mortality and actuarial valuations;Biffis;Insur. Math. Econ.,2005

5. Consistent dynamic affine mortality models for longevity risk applications;Blackburn;Insur. Math. Econ.,2013

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