In this paper, we address the mortality risk of individuals and adopt parsimonious time- homogeneous a±ne processes for their mortality intensities. We calibrate the models to different generations in the UK population and investigate their empirical appropriateness. We find that, in spite of...

In a recently reprinted paper Borch wonders whether an increase in loadings, together with a consequent increase in deductibles, may start a vicoius circle, ad infinitum. This paper rules out the possibility of a vicious circle, in a model à la Borch. First of all, in his setting, increases in...

The most common approach for default dependence modelling is at present copula functions. Within this framework, the paper examines factor copulas, which are the industry standard, together with their latest development, namely the incorporation of sudden jumps to default instead of a pure...