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Mortality modelling with Lévy processes. (English) Zbl 1141.91516

Summary: This paper addresses the modelling of human mortality by the aid of doubly stochastic processes with an intensity driven by a positive Lévy process. We focus on intensities having a mean reverting stochastic component. Furthermore, driving Lévy processes are pure jump processes belonging to the class of \(\alpha \)-stable subordinators. In this setting, expressions of survival probabilities are inferred, the pricing is discussed and numerical applications to actuarial valuations are proposed.

MSC:

91B30 Risk theory, insurance (MSC2010)
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