Modeling Mortality With Jumps: Applications to Mortality Securitization

120 citations recorded by the source corpus.

Citations in the corpus

Pricing Standardized Mortality Securitizations: A Two‐Population Model with Transitory Jump Effects (2013, unknown): “For example, Deng et al. (2012) considered double-exponential jumps, while Chen and Cox (2009) considered Gaussian jumps.”
Multi-population mortality models: A factor copula approach (2015, unknown): “Wang transform (Dowd et al. 2006, Denuit et al. 2007, Lin and Cox 2008, Chen and Cox 2009) Esscher transform (Chen et al. 2010, Li et al. 2010).”
Mortality Regimes and Pricing (2011, unknown): “1 Chen and Cox (2009) suggested the use of regime switching models to model mortality risk.”
Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing (2010, unknown): “Chen and Cox (2009) explore models with permanent versus transitory jump effects.”
Pricing Mortality Securities with Correlated Mortality Indexes (2011, unknown): “For example, in order to account for catastrophic mortality death shocks, Chen and Cox (2009) incorporate a jump-diffusion process into the original Lee–Carter model to forecast mortality rates and price the 2003 Swiss Re mortality bond.”
Longevity/Mortality Risk Modeling and Securities Pricing (2012, unknown): “Hence, the model that involves a jump process with a symmetric normal distribution (Chen and Cox, 2009) does not capture the asymmetric jump phenomenon.”