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- W2743479348 abstract "In this paper we use doubly stochastic processes (or Cox processes) in order to model the random evolution of mortality of an individual. These processes have been widely used in the credit risk literature in modelling default arrival, and in this context have proved to be quite ∞exible, especially when the intensity process is of the a‐ne class. We investigate the applicability of a‐ne processes in describing the individual’s intensity of mortality and the mortality trend. We also provide some calibrations to the UK population. Calibrations suggest that, in spite of their popularity in the flnancial context, mean reverting processes are less suitable for describing the death intensity of individuals than non mean reverting processes. Among the latter, a‐ne processes whose deterministic part increases exponentially seem to be appropriate. As for the stochastic part, negative jumps seem to do a better job than difiusive components alone. Stress analysis and analytical results indicate that increasing the randomness of the intensity process results in improvements in survivorship. JEL classiflcation: G22, J11." @default.
- W2743479348 created "2017-08-17" @default.
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- W2743479348 date "2005-10-01" @default.
- W2743479348 modified "2023-10-04" @default.
- W2743479348 title "Abstracts and Reviews" @default.
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- W2743479348 doi "https://doi.org/10.1016/s0167-6687(05)00129-0" @default.
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