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The survival probability of mortality intensity with jump-diffusion

Date

Authors

Park, Hyun Suk

Publisher

Elsevier

Abstract

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.

Keywords

Keywords: 60J75; 62P05; Jump-diffusions; Mortality intensity; Partial differential equation; primary; secondary; Survival probability

URI

http://hdl.handle.net/1885/56726

Collections

ANU Research Publications

Source

Journal of the Korean statistical society

Type

Journal article

DOI

10.1016/j.jkss.2008.06.001

Restricted until

2037-12-31

Downloads

File

Description

01_Park_The_survival_probability_of_2008.pdf (611.63 KB)