نتایج جستجو برای: stochastic mortality
تعداد نتایج: 412957 فیلتر نتایج به سال:
Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality models driven by a (possibly infinite dimensional) Wiener process and a compensated Poisson random measure. A major innovation of the paper is the introduction of a family of processes called forward mortality improvement...
BACKGROUND While historical declines in human mortality are clearly shaped by lifestyle and environmental improvements, modeling patterns is difficult because intrinsic and extrinsic processes shape mortality through complex stochastic interactions. OBJECTIVE To develop a stochastic model describing intrinsic and extrinsic mortality rates and quantify historical mortality trends in terms of par...
This paper develops a framework for developing forecasts of future mortality rates. We discuss the suitability of six stochastic mortality models for forecasting future mortality and estimating the density of mortality rates at different ages. In particular, the models are assessed individually with reference to the following qualitative criteria that focus on the plausibility of their forecast...
Abstract Human lifespan increments represent one of the main current risks for governments and pension health benefits providers. Longevity societies imply financial sustainability challenges to guarantee adequate socioeconomic conditions all individuals a longer period. Consequently, modelling population dynamics projecting future longevity scenarios are vital tasks policymakers. As an answer,...
This paper describes a general approach for the stochastic modeling of assets returns and liability cash-flows typical pensions insurer. On asset side, we model investment on equities various classes fixed-income instruments including short- long-maturity fixed-rate bonds as well index-linked corporate bonds. risks are driven by future mortality developments price wage inflation. All risk facto...
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