Stochastic mortality model with respect to mixed fractional Poisson process : calibration and empirical analysis of long-range dependence in actuarial valuation
Haoran Jiang, Zhehao Zhang, Xiaojun Zhu
| Year of publication: |
2024
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|---|---|
| Authors: | Jiang, Haoran ; Zhang, Zhehao ; Zhu, Xiaojun |
| Published in: |
Insurance : mathematics and economics. - Amsterdam : North Holland Publ. Co., ISSN 0167-6687, ZDB-ID 2010248-3. - Vol. 119.2024, p. 64-92
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| Subject: | Actuarial valuation | Long-range dependence | Stochastic mortality modelling | Survival probability empirical analysis | Sterblichkeit | Mortality | Stochastischer Prozess | Stochastic process | Versicherungsmathematik | Actuarial mathematics | Risikomodell | Risk model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Versicherung | Insurance | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2024.08.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015067206