Cairns, Andrew J. G.; Blake, David P.; Dowd, Kevin - 2009
In the first part of the paper, we consider the wide range of extrapolative stochastic mortality models that have been … discuss a discrete-time market model that facilitates valuation of mortality-linked contracts with embedded options. We then … review several approaches to modelling mortality in continuous time. These models tend to be simpler in nature, but make it …