Modelling Mortality using Multiple Stochastic Latent Factors

Detalhes bibliográficos
Autor(a) principal: Bravo, Jorge
Data de Publicação: 2009
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10174/7638
Resumo: In this paper we develop a new model for stochastic mortality that considers the possibility of both positive and negative catastrophic mortality shocks. Specifically, we assume that the mortality intensity can be described by an affine function of a finite number of latent factors whose dynamics is represented by affine-jump diffusion processes. The model is then embedded into an affine-jump framework, widely used in the term structure literature, in order to derive closed-form solutions for the survival probability. This framework and model application to the classical Gompertz-Makeham mortality law provides a theoretical foundation for the pricing and hedging of longevity-linked derivatives.
id RCAP_f0ca4d287296684d7398d6d3116bfb90
oai_identifier_str oai:dspace.uevora.pt:10174/7638
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Modelling Mortality using Multiple Stochastic Latent Factorslongevity riskaffine modelsstochasticmortalityIn this paper we develop a new model for stochastic mortality that considers the possibility of both positive and negative catastrophic mortality shocks. Specifically, we assume that the mortality intensity can be described by an affine function of a finite number of latent factors whose dynamics is represented by affine-jump diffusion processes. The model is then embedded into an affine-jump framework, widely used in the term structure literature, in order to derive closed-form solutions for the survival probability. This framework and model application to the classical Gompertz-Makeham mortality law provides a theoretical foundation for the pricing and hedging of longevity-linked derivatives.Proceedings of the 7th International Workshop on Pensions, Insurance and Savings, Paris, France.2013-01-23T10:29:18Z2013-01-232009-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/7638http://hdl.handle.net/10174/7638engBravo, J. M. (2009). Modelling Mortality using Multiple Stochastic Latent Factors, Proceedings of the 7th International Workshop on Pensions, Insurance and Savings, Paris, France.http://www.ifd.dauphine.fr/fileadmin/mediatheque/IFD/Workshop_Najat/stochastic_mortality_using_multiple_latent_factors.J.Bravo.pdfjbravo@uevora.pt645Bravo, Jorgeinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T18:47:57Zoai:dspace.uevora.pt:10174/7638Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:02:06.135692Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Modelling Mortality using Multiple Stochastic Latent Factors
title Modelling Mortality using Multiple Stochastic Latent Factors
spellingShingle Modelling Mortality using Multiple Stochastic Latent Factors
Bravo, Jorge
longevity risk
affine models
stochastic
mortality
title_short Modelling Mortality using Multiple Stochastic Latent Factors
title_full Modelling Mortality using Multiple Stochastic Latent Factors
title_fullStr Modelling Mortality using Multiple Stochastic Latent Factors
title_full_unstemmed Modelling Mortality using Multiple Stochastic Latent Factors
title_sort Modelling Mortality using Multiple Stochastic Latent Factors
author Bravo, Jorge
author_facet Bravo, Jorge
author_role author
dc.contributor.author.fl_str_mv Bravo, Jorge
dc.subject.por.fl_str_mv longevity risk
affine models
stochastic
mortality
topic longevity risk
affine models
stochastic
mortality
description In this paper we develop a new model for stochastic mortality that considers the possibility of both positive and negative catastrophic mortality shocks. Specifically, we assume that the mortality intensity can be described by an affine function of a finite number of latent factors whose dynamics is represented by affine-jump diffusion processes. The model is then embedded into an affine-jump framework, widely used in the term structure literature, in order to derive closed-form solutions for the survival probability. This framework and model application to the classical Gompertz-Makeham mortality law provides a theoretical foundation for the pricing and hedging of longevity-linked derivatives.
publishDate 2009
dc.date.none.fl_str_mv 2009-01-01T00:00:00Z
2013-01-23T10:29:18Z
2013-01-23
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10174/7638
http://hdl.handle.net/10174/7638
url http://hdl.handle.net/10174/7638
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Bravo, J. M. (2009). Modelling Mortality using Multiple Stochastic Latent Factors, Proceedings of the 7th International Workshop on Pensions, Insurance and Savings, Paris, France.
http://www.ifd.dauphine.fr/fileadmin/mediatheque/IFD/Workshop_Najat/stochastic_mortality_using_multiple_latent_factors.J.Bravo.pdf
jbravo@uevora.pt
645
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Proceedings of the 7th International Workshop on Pensions, Insurance and Savings, Paris, France.
publisher.none.fl_str_mv Proceedings of the 7th International Workshop on Pensions, Insurance and Savings, Paris, France.
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799136504928272384

Registros relacionados