Christiansen, Marcus C. - In: Risks : open access journal 1 (2013) 3, pp. 81-100
In the actuarial literature, it has become common practice to model future capital returns and mortality rates … stochastically in order to capture market risk and forecasting risk. Although interest rates often should and mortality rates always … helps to quantify the error that is made by approximating diffusive interest and mortality rate models with Gaussian …