Search Results - subject:"Stochastic mortality"

Frailty-based mortality models and reserving for longevity risk

Carannante, Maria; D'Amato, Valeria; Haberman, Steven; … - In: The Geneva papers on risk and insurance - issues and … 49 (2024) 2, pp. 320-339

Persistent link: https://www.econbiz.de/10014583150

Stochastic assessment of special-rate life annuities

Olivieri, Annamaria; Tabakova, Daniela - 2024

Persistent link: https://www.econbiz.de/10014534628

Fair valuations of insurance policies under multiple risk factors : a flexible lattice approach

Devolder, Pierre; Russo, Emilio; Staino, Alessandro - In: ASTIN bulletin : the journal of the International … 54 (2024) 2, pp. 385-409

Persistent link: https://www.econbiz.de/10015055294

Should selection of the optimum stochastic mortality model be based on the original or the logarithmic scale of the mortality rate?

Santolino, Miguel - In: Risks : open access journal 11 (2023) 10, pp. 1-21

Stochastic mortality models seek to forecast future mortality rates; thus, it is apparent that the objective variable … should be the mortality rate expressed in the original scale. However, the performance of stochastic mortality models … is assessed based on the original and log scales of the mortality rate. We compare four different stochastic mortality …

Persistent link: https://www.econbiz.de/10014391729

Assessing the impact of the COVID-19 shock on a stochastic multi-population mortality model

Robben, Jens; Antonio, Katrien; Devriendt, Sander - In: Risks 10 (2022) 2, pp. 1-33

We aim to assess the impact of a pandemic data point on the calibration of a stochastic multi-population mortality projection model and its resulting projections for future mortality rates. Throughout the paper, we put focus on the Li and Lee mortality model, which has become a standard for...

Persistent link: https://www.econbiz.de/10013200917