Quadratic stochastic intensity and prospective mortality tables

Insurance: Mathematics and Economics

Volumn 43, Issue 1, 2008, Pages 174-184

  Gourieroux, C ^a,b,c   Monfort, A ^a,d  

^a CREST   (France)

^b CEPREMAP   (France)

^c UNIVERSITY OF TORONTO   (Canada)

^d University of Paris Cité   (France)

Author keywords

Affine model; Kalman filter; Life insurance; Longevity risk; Mortality linked securities (MLS); Mortality table; Quadratic model

Indexed keywords

EID: 47249103759     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2008.05.010     Document Type: Article

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