Mortality modelling with Levy processes
(2008) Insurance: Mathematics and Economics — Vol. 42, n° 1, p. 409-418 (2008)
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- Abstract
- 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.
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Hainaut, D., & Devolder, P. (2008). Mortality modelling with Levy processes. Insurance: Mathematics and Economics, 42(1), 409-418. https://doi.org/10.1016/j.insmatheco.2007.05.007 (Original work published 2008)