We study and calibrate a cohort-based model which captures the characteristics of a mortality surface with a parsimonious, continuous-time factor approach. The model allows for imperfect correlation of the mortality intensity across generations. It is implemented on UK data for the period...

Quadrant dependence is a useful dependence notion of two random variables, widely applied in reliability, insurance and actuarial sciences. The interest in this dependence structure ranges from modeling it, throughout measuring its strength and investigations on how increasing the dependence...