Longevity risk: a stochastic dynamic approach

Autor:	COPPOLA, MARIAROSARIA, DI LORENZO, GIOVANNA, POLITANO, MASSIMILIANO, Orlando A.
Přispěvatelé:	Organizing Committee, G. D'Amico, G. Di Biase, J. Janssen, R. Manca, Coppola, Mariarosaria, DI LORENZO, Giovanna, Orlando, A., Politano, Massimiliano
Jazyk:	angličtina
Rok vydání:	2011
Předmět:	stochastic mortality intensity quantile analysis forecasting mortality Longevity risk
Popis:	The paper focuses on the study of hazard mortality rates evolution in time to front the actuarial issue of longevity risk. Whatever hypothesis about future mortality, a correct evaluation of the expected mortality randomness requires the use of a suitable stochastic model. In this context, we first propose a computational tractable approach based on a CIR type stochastic process for modeling the future mortality rates. Then we investigate the impact of adverse effects on the mortality dynamics by a quantile analysis. Numerical applications to the Italian population are discussed.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od______3730::2faa3092955c1f2c96687a26497a3319 http://hdl.handle.net/11588/429063 Zobrazit plný text záznamu