A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration
نویسندگان
چکیده
منابع مشابه
A Two-factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration
In this article, we consider the evolution of the post-age-60 mortality curve in the United Kingdom and its impact on the pricing of the risk associated with aggregate mortality improvements over time: so-called longevity risk. We introduce a two-factor stochastic model for the development of this curve through time. The first factor affects mortality-rate dynamics at all ages in the same way, ...
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In this paper we consider the evolution of the post-60 mortality curve in the UK and its impact on the pricing of the risk associated with mortality improvements over time: so-called longevity risk. We introduce a two-factor stochastic model for the development of this curve through time. The first factor affects mortality-rate dynamics at all ages in the same way, whereas the second factor aff...
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ژورنال
عنوان ژورنال: Journal of Risk & Insurance
سال: 2006
ISSN: 0022-4367,1539-6975
DOI: 10.1111/j.1539-6975.2006.00195.x