| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076955 | Insurance: Mathematics and Economics | 2012 | 11 Pages |
Abstract
⺠This paper studies the general features of multifactor Lee-Carter models, with switching regime time components. ⺠A particular attention is granted to changes of measure for this type of model and their influence on prices of life and death insurances. ⺠Analytical expressions of moments of mortality rates are provided. ⺠The calibration procedure is detailed and applied to fit a 2 dimensions, 2 states model to the French population. ⺠A comparison with existing models reveals that this kind of models introduces an age specific enhancement of mortality rates.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Donatien Hainaut,