Daniel, Bauer; Matthias, Börger; Jochen, Ruß; … - In: Asia-Pacific Journal of Risk and Insurance 3 (2008) 1, pp. 1-29
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...