Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena - International Centre for Economic Research (ICER) - 2006
In this note we use doubly stochastic processes (or Cox processes) in order to model the evolution of the stochastic force of mortality of an individual aged x. These processes have been widely used in the credit risk literature in modelling the default arrival, and in this context have proved...