flag flag  

Search all repositories
add criteria
Close advanced options Search for

 

Enter more search criteria
Publication Date
     
From
To
Document Language
Document Type
Repositories
Search History
• (repositories = "AperTo")
Document details

No mean reverting affine processes for stochastic mortality

Author(s) : Luciano, Elisa , Vigna, Elena
Description : In this paper we use doubly stochastic processes (or Cox processes) in order to model the random evolution of mortality of an individual. These processes have been widely used in the credit risk literature in modelling default arrival, and in this context have proved to be quite flexible, especially...
Repository : AperTo , View repository documents
Language(s) : English
Subject(s) : doubly stochastic processes (Cox processes) , stochastic mortality , affine processes , insurance , insurance companies , demographic trends and forecasts
Publisher(s) :
Contributor(s) :
Source(s) :
Publication Date(s) : 2006-11-23