Centro de Documentacion de Fundación MAPFRE - Joint mortality models based on subordinated linear hypercubes

MAP20260001753

Joint mortality models based on subordinated linear hypercubes / Domenico De Giovanni, Marco Pirra and Fabio Viviano

Sumario: The model considers the stochastic nature of future mortality improvements and introduces a common subordinator for the marginal survival processes, resulting in a non trivial dependence structure between the survival of pairs of individuals. Polynomial diffusion processes can be used to derive closed-form formulae for standard actuarial quantities

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 12/05/2025 Volume 55 Issue 2 - may 2025 , p. 332 - 351

1. Seguro de vida . 2. Mortalidad . 3. Dependencia . 4. Matemática del seguro . 5. Cálculo actuarial . 6. Modelos estadísticos . 7. Estadística matemática . 8. Modelo estocástico . I. Pirra, Marco . II. Viviano, Fabio . III. International Actuarial Association . IV. Title.