Non Mean Reverting Affine Processes for Stochastic Mortality

By Elisa Luciano, Elena Vigna. 2005

165 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/078cdb5b0e614b28bbb68ee899e046d0fb8339c2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Andrew J. G. Cairns
2. Kevin Dowd
3. David P. Blake
4. Pierre Devolder
5. Elena Vigna
6. Luciano Elisa
7. V. Elena
8. Masaaki Kijima

In Economics and Econometrics

1. Andrew J. G. Cairns
2. Kevin Dowd
3. David P. Blake
4. Luciano Elisa
5. V. Elena
6. Pierre Devolder
7. Masaaki Kijima
8. Donatien Hainaut

In Finance

1. David P. Blake
2. Kevin Dowd
3. Luciano Elisa
4. V. Elena
5. Pierre Devolder
6. Masaaki Kijima
7. Donatien Hainaut
8. Andrew J. G. Cairns

Citations in the corpus

• Pricing of Ratchet Equity-Indexed Annuities under Stochastic Interest Rates ? (2007, background): “We refer the interested readers to Dahl (2004); Luciano and Vigna (2005); Schrager (2006) for more details on such models.”
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* (2006, background): “…of mortality within this framework include Lee and Carter (1992), Lee (2000a), Yang (2001), Brouhns, Denuit and Vermunt (2002), Renshaw and Haberman (2003), and Cairns, Blake and Dowd (2006) in discrete time, and Milevsky and Promislow (2001) and Luciano and Vigna (2005) in continuous time.”
• Mortality modelling with Lévy processes (2008, background): “In many papers, the mortality hazard rate depends on an affine process, see for instance Biffis (2005 a), Biffis et al. (2005 b), Biffis and Denuit (2006), Dahl (2004), Dahl and Møller (2006), Luciano and Vigna (2005), Schrager (2006).”
• Mortality risk via affine stochastic intensities: calibration and empirical relevance (2008, background): “In addition, we observe the following: • Cairns et al. (2006) in their list of properties that a good model for stochastic mortality should have, rule out strong mean reversion, even to a time-dependent target; • Luciano and Vigna (2005) find that time-homogeneous mean reverting affine processes fai”
• Modelling stochastic mortality for dependent lives (2008, unknown): “Di⁄erently from Luciano and Vigna (2005), we base the calibration on sample insurance data and not on mortality tables.”