Modeling mortality and pricing life annuities with Lévy processes

Author:

Ahmadi Seyed Saeed,Gaillardetz Patrice

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference27 articles.

1. Lévy Process and Stochastic Calculus;Applebaum,2004

2. The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case;Ballotta;Insurance Math. Econom.,2006

3. Affine processes for dynamic mortality and actuarial valuation;Biffis;Insurance Math. Econom.,2005

4. Actuarial Mathematics;Bowers,1997

5. Model Selection and Multi-model Inference: A Practical Information-theoretic Approach;Burnham,2002

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1. Multi-population mortality modeling with Lévy processes;Decisions in Economics and Finance;2023-05-28

2. Copula-based Markov process;Insurance: Mathematics and Economics;2020-03

3. Lévy CARMA models for shocks in mortality;Decisions in Economics and Finance;2019-04-23

4. Multi-Population Mortality Model: A Practical Approach;Sains Malaysiana;2018-06-30

5. Some Empirical Evidence on the Need of More Advanced Approaches in Mortality Modeling;SSRN Electronic Journal;2018

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