The Volatility of Mortality

Bauer Daniel, Börger Matthias, Ruß Jochen and Zwiesler Hans-Joachim
Additional contact information
Bauer Daniel: Georgia State University
Börger Matthias: Ulm University, Germany
Ruß Jochen: Institute of Finance and Actuarial Science at Ulm, Germany
Zwiesler Hans-Joachim: Ulm University, Germany

Asia-Pacific Journal of Risk and Insurance, 2008, vol. 3, issue 1, 29

Abstract: The use of forward models for the future development of mortality has been proposed by several authors. In this article, we specify adequate volatility structures for such models. We derive a Heath-Jarrow-Morton drift condition under different measures. Based on demographic and epidemiological insights, we then propose two different models with a Gaussian and a non-Gaussian volatility structure, respectively. We present a Maximum Likelihood approach for the calibration of the Gaussian model and develop a Monte Carlo Pseudo Maximum Likelihood approach that can be used in the non-Gaussian case. We calibrate our models to historic mortality data and analyze and value certain longevity-dependent payoffs within the models.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
https://doi.org/10.2202/2153-3792.1035 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:apjrin:v:3:y:2008:i:1:n:10

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/apjri/html

DOI: 10.2202/2153-3792.1035

Access Statistics for this article

Asia-Pacific Journal of Risk and Insurance is currently edited by Michael R. Powers

More articles in Asia-Pacific Journal of Risk and Insurance from De Gruyter
Bibliographic data for series maintained by Peter Golla ().