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On stochastic mortality modeling. (English) Zbl 1231.91227

Summary: In the last decennium a vast literature on stochastic mortality models has been developed. All well-known models have nice features but also disadvantages. In this paper a stochastic mortality model is proposed that aims at combining the nice features from the existing models, while eliminating the disadvantages. More specifically, the model fits historical data very well, is applicable to a full age range, captures the cohort effect, has a non-trivial (but not too complex) correlation structure and has no robustness problems, while the structure of the model remains relatively simple. Also, the paper describes how to incorporate parameter uncertainty in the model. Furthermore, a risk neutral version of the model is given, that can be used for pricing.

MSC:

91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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