کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077700 1374147 2006 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Affine stochastic mortality
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Affine stochastic mortality
چکیده انگلیسی
We propose a new model for stochastic mortality. The model is based on the literature on affine term structure models. It satisfies three important requirements for application in practice: analytical tractibility, clear interpretation of the factors and compatibility with financial option pricing models. We test the model fit using data on Dutch mortality rates. Furthermore, we discuss the specification of a market price of mortality risk and apply the model to the pricing of a guaranteed annuity option and the calculation of required economic capital for mortality risk.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 38, Issue 1, 24 February 2006, Pages 81-97
نویسندگان
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