Models for stochastic mortality

• Autorzy: Jan Iwanik
• Języki publikacji: EN

Abstrakty

EN

This paper is an attempt to present and analyse stochastic mortality models. We propose a couple of continuous-time stochastic models that are natural generalizations of the Gompertz law in the sense that they reduce to the Gompertz function when the volatility parameter is zero. We provide a statistical analysis of the available demographic data to show that the models fit historical data well. Finally, we give some practical examples for the multidimensional models.

Kategorie tematyczne

• 62P05: Applications to actuarial sciences and financial mathematics
• 60H30: Applications of stochastic analysis (to PDE, etc.)

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2007
• Tom: 34
• Numer: 1
• Strony: 53-73

Daty

wydano

2007

Twórcy

autor

Jan Iwanik

• Institute of Mathematics and Computer Science, Wrocław University of Technology, Wyspiańskiego 27, 50-370 Wrocław, Poland

Identyfikatory

DOI

10.4064/am34-1-6