Centro de Documentacion de Fundación MAPFRE - Affine stochastic mortality

MAP20071507740

Affine stochastic mortality / David F. Schrager

This article proposes a new model for stochastic mortality. The model is based on the literature on affine term structure model. It satisfies three important requirements for application in practice: analytical tractibility, clear interpretation of the factors and compatibility with financial option pricing models

En: Insurance Mathematics & Economics. - Oxford: Elsevier Science. - nº 1 vol.38, 2006 ; p. 81-97

1. Mortalidad . 2. Longevidad . 3. Tablas de mortalidad . 4. Matemática del seguro . 5. Modelo estocástico . I. Título.