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The survival probability of mortality intensity with jump-diffusion

Park, Hyun Suk

Description

In this paper we derive the survival probability with mortality intensity based on stochastic differential equations with jump-diffusion. Also, we consider the problem of estimation of parameters appearing in mortality intensity models by using the maximum likelihood method. Numerical examples are given.

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
URI: http://hdl.handle.net/1885/56726
Source: Journal of the Korean statistical society
DOI: 10.1016/j.jkss.2008.06.001

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