MORTALITY MODELING WITH LEVY PROCESSES
Mortality and longevity risk is usually one of the main risk components ineconomic capital models of insurance companies. Above all, future mortalityexpectations are an important input in the modeling and pricing of long termproducts. Deviations from the expectat...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Social Sciences Research Society
2012-07-01
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| Series: | International Journal of Economics and Finance Studies |
| Online Access: | http://www.sobiad.org/eJOURNALS/journal_IJEF/archieves/2012_2/ferhat_yucel.pdf |
| Summary: | Mortality and longevity risk is usually one of the main risk components ineconomic capital models of insurance companies. Above all, future mortalityexpectations are an important input in the modeling and pricing of long termproducts. Deviations from the expectation can lead insurance company even todefault if sufficient reserves and capital is not held. Thus, Modeling of mortalitytime series accurately is a vital concern for the insurance industry. The aim of thisstudy is to perform distributional and spectral testing to the mortality data andpracticed discrete and continuous time modeling. We believe, the results and thetechniques used in this study will provide a basis for Value at Risk formula incase of mortality. |
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| ISSN: | 1309-8055 1309-8055 |