Mortality modelling with Lévy processes |
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Authors: | Donatien Hainaut Pierre Devolder |
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Institution: | Institut des sciences actuarielles, Université Catholique de Louvain (UCL), 1348 Louvain-La-Neuve, Belgium |
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Abstract: | 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 the class of α-stable subordinators. In this setting, expressions of survival probabilities are inferred, the pricing is discussed and numerical applications to actuarial valuations are proposed. |
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Keywords: | Stochastic mortality Longevity risk Lé vy processes |
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