This paper addresses the modelling of human mortality by the aid of doubly stochastic processes with an intensity driven by a positive Lévy process. We focus on intensities having a mean reverting stochastic component. Furthermore, driving Lévy processes are pure jump processes belonging to...

This paper addresses some of the problems a majority of retired individuals face: Why and in what proportion should they invest in a life annuity to maximize the utility of their future consumption or a bequest? The market considered in this work is made up of three assets: a life annuity, a...