Mortality modelling with Lévy processes

Donatien Hainaut and Pierre Devolder

Insurance: Mathematics and Economics, 2008, vol. 42, issue 1, 409-418

Abstract: This paper addresses the modelling of human mortality by the aid of doubly stochastic processes with an intensity driven by a positive Lévy process. We focus on intensities having a mean reverting stochastic component. Furthermore, driving Lévy processes are pure jump processes belonging to the class of [alpha]-stable subordinators. In this setting, expressions of survival probabilities are inferred, the pricing is discussed and numerical applications to actuarial valuations are proposed.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:42:y:2008:i:1:p:409-418

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