کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077019 | 1374113 | 2009 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On stochastic mortality modeling
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
In the last decennium a vast literature on stochastic mortality models has been developed. All well-known models have nice features but also disadvantages. In this paper a stochastic mortality model is proposed that aims at combining the nice features from the existing models, while eliminating the disadvantages. More specifically, the model fits historical data very well, is applicable to a full age range, captures the cohort effect, has a non-trivial (but not too complex) correlation structure and has no robustness problems, while the structure of the model remains relatively simple. Also, the paper describes how to incorporate parameter uncertainty in the model. Furthermore, a risk neutral version of the model is given, that can be used for pricing.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 45, Issue 3, December 2009, Pages 393-404
Journal: Insurance: Mathematics and Economics - Volume 45, Issue 3, December 2009, Pages 393-404
نویسندگان
Richard Plat,