We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death … causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain …. Furthermore, the model allows exact (without Monte Carlo simulation error) calculation of risk measures and their sensitivities …

insurance companies. The value of this benefit depends on several processes assumed to describe both the mortality and the … literature is devoted to the valuation of GMMB for different mortality models, in particular when the mortality dynamics is … described by affine models of diffusion type. In the present paper we assume for the mortality dynamics a self …

In this paper, we present extensions of the Hatzopoulos-Sagianou (2020) (HS) multiple-component stochastic mortality … modelling the number of deaths using the Binomial model commonly employed in the literature of mortality modelling. Given this … suitable than those used in the literature to model the mortality dynamics. In this regard, our work offers an extensive …