A Family of Mortality Jump Models Applied to US Data

Chen Hua ()
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Chen Hua: Department of Risk, Insurance and Healthcare Management, The Fox School of Business, Temple University, Philadelphia, PA 19122, USA

Asia-Pacific Journal of Risk and Insurance, 2013, vol. 8, issue 1, 105-121

Abstract: Mortality models are fundamental to quantify mortality/longevity risks and provide the basis of pricing and reserving. In this article, we consider a family of mortality jump models and propose a new generalized Lee–Carter model with asymmetric double exponential jumps. It is asymmetric in terms of both time periods of impact and frequency/severity profiles between adverse mortality jumps and longevity jumps. It is mathematically tractable and economically intuitive. It degenerates to a transitory exponential jump model when fitting the US mortality data and is the best fit compared with other jump models.

Keywords: mortality models; asymmetric jumps (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1515/apjri-2013-0015

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