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 multivariat...

We propose a stochastic model of aging to explain deviations from exponential growth in mortality rates commonly observed in empirical studies. Mortality rate plateaus are explained as a generic consequence of considering death in terms of first passage times for processes undergoing a random walk with drift. Simulations of populations with age-dependent distributions of viabilities agree with ...

In this paper we propose a subordinated Markov model for modeling stochastic mortality. The aging process of a life is assumed to follow a finite-state Markov process with a single absorbing state and the stochasticity of mortality is governed by a subordinating gamma process. We focus on the theoretical development of the model and have shown that the model exhibits many desirable properties o...

We investigate a stochastic search process in one dimension under the competing roles of mortality, redundancy, and diversity of the searchers. This picture represents a toy model for the fertilization of an oocyte by sperm. A population of N independent and mortal diffusing searchers all start at x=L and attempt to reach the target at x=0. When mortality is irrelevant, the search time scales a...

A stochastic differential equation model is developed to clarify the interaction of debilitation, recuperation, selection, and aging. The model yields various insights about the lingering mortality consequences of disasters such as wars, famines, and epidemics that may weaken the survivors. A key result is that debilitation and selection are interdependent: debilitation that increases popula...

The paper introduces a new framework for modelling the joint development over time of mortality rates in a pair of related populations by combining a number of recent and novel developments in stochastic mortality modelling. First, we develop an underlying stochastic model which incorporates a mean-reverting stochastic spread that allows for different trends in mortality improvement rates in th...

A general portfolio of joint life insurance contracts is studied in a stochastic interest rate environment with independent and dependent mortality models. Two types of joint insurance products, namely joint first-to-die and joint last-to-die, are considered in this project. Two methods are used to derive the first two moments of the prospective loss random variable. The first one is based on t...

We study indifference pricing of mortality contingent claims in a fully stochastic model. We assume both stochastic interest rates and stochastic hazard rates governing the population mortality. In this setting we compute the indifference price charged by an insurer that uses exponential utility and sells k contingent claims to k independent but homogeneous individuals. Throughout we focus on t...

Since its introduction, the Lee Carter model has been widely adopted as a means of modelling the distribution of projected mortality rates. Increasingly attention is being placed on alternative models and, importantly in the financial and actuarial literature, on models suited to risk management and pricing. Financial economic approaches based on term structure models provide a framework for em...