Universite De Lyon
نویسندگان
چکیده
In most stochastic mortality models, either one stochastic intensity process (for example a jump-diffusion process) or a collection of independent processes is used to model the stochastic evolution of survival probabilities. We propose and calibrate a new model that takes inter-age correlations into account. The so-called stochastic logit’s Deltas model is based on the study of the multivariate time series of the differences of logits of yearly mortality rates. These correlations are important and we illustrate our study on a real-life portfolio. We determine their impact on the price of a longevity swap type reinsurance contract, in which most of the financial risk is taken by a third party. The hypotheses of our model are statistically tested and various measures of risk of the present value of liabilities are found to be significantly smaller in our model than in the case of one common underlying stochastic process. 1
منابع مشابه
Deoxyribonucleic Acid Relatedness among Members of the Genus Frankia
Laboratoire d'Ecologie microbienne, Unite' de Recherche Associe'e au Centre National de la Recherche Scientifique 697, Universite' Lyon I, F-69622 Villeurbanne Cedex, France'; Centre National des Staphylocoques, Laboratoire de Bacteriologie, Faculte' de Me'decine Alexis Carrel, F-69372 Lyon Ce'dex 8, France2; and Institut National de la Sante' et de la Recherche Me'dicale Unite' 199, Unite' des...
متن کاملHeterogeneous Photochemistry in the Atmosphere
Christian George,*,†,‡ Markus Ammann, Barbara D’Anna,†,‡ D. J. Donaldson, and Sergey A. Nizkorodov †Universite ́ de Lyon 1, Lyon F-69626, France ‡CNRS, UMR5256, IRCELYON, Institut de Recherches sur la Catalyse et l’Environnement de Lyon, Villeurbanne F-69626, France Laboratory of Radiochemistry and Environmental Chemistry, Paul Scherrer Institut, 5232 Villigen, Switzerland Department of Chemistr...
متن کاملP-t Conditions and Mechanisms of Enstatite to Akimotoite Transformations in the Shocked L-6 Chondrite Tenham
TO AKIMOTOITE TRANSFORMATIONS IN THE SHOCKED L-6 CHONDRITE TENHAM. T. Ferroir, M. Miyahara, E. Ohtani, P.Beck, A. Simionovici P. Gillet and A. El Goresy. LST ENS-Lyon, 69364 Lyon, France. E-mail: [email protected], Graduate School of Science, Tohoku University, Sendai, 980-8758, Japan, Laboratoire de Planetologie, Universite Joseph Fourier, 38041 Grenoble Cedex 9, France, OSUG, LGCA,...
متن کاملTargeting the Achilles Heel of Multidrug-Resistant Cancer by Exploiting the Fitness Cost of Resistance
Exploiting the Fitness Cost of Resistance Gergely Szakaćs,*,† Matthew D. Hall,‡ Michael M. Gottesman,‡ Ahceǹe Boumendjel, Remy Kachadourian, Brian J. Day, Heĺeǹe Baubichon-Cortay, and Attilio Di Pietro* †Institute of Enzymology, Research Centre for Natural Sciences, Hungarian Academy of Sciences, Magyar tudośok körut́ja 2, Budapest 1117, Hungary ‡Laboratory of Cell Biology, Center for Cancer Res...
متن کاملThe fly that came in from the cold: geographic variation of recovery time from low-temperature exposure in Drosophila subobscura
* Laboratoire Populations, Genetique, et Evolution, Centre National de la Recherche Scientifique, 91198 Gif-sur-Yvette, Cedex, France, † Laboratoire de Biometrie, Biologie Evolutive, Universite Lyon, 43 Boulevard du 11 Novembre, 69622 Villeurbanne Cedex, France, ‡ Department of Biology, Box 8795, College of William & Mary, Williamsburg, Virginia 23187–8795, USA, and § Department of Biology, Box...
متن کامل