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The survival probability of mortality intensity with jump-diffusion

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dc.contributor.authorPark, Hyun Suk
dc.date.accessioned2015-12-10T22:38:21Z
dc.date.issued2008
dc.date.updated2015-12-09T10:39:14Z
dc.description.abstractIn 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.
dc.identifier.issn1226-3192
dc.identifier.urihttp://hdl.handle.net/1885/56726
dc.publisherElsevier
dc.sourceJournal of the Korean statistical society
dc.subjectKeywords: 60J75; 62P05; Jump-diffusions; Mortality intensity; Partial differential equation; primary; secondary; Survival probability
dc.titleThe survival probability of mortality intensity with jump-diffusion
dc.typeJournal article
local.bibliographicCitation.issue4
local.bibliographicCitation.lastpage363
local.bibliographicCitation.startpage355
local.contributor.affiliationPark, Hyun Suk, College of Physical and Mathematical Sciences, ANU
local.contributor.authoruidPark, Hyun Suk, t1031
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor010404 - Probability Theory
local.identifier.ariespublicationu4105084xPUB373
local.identifier.citationvolume37
local.identifier.doi10.1016/j.jkss.2008.06.001
local.identifier.scopusID2-s2.0-54049090401
local.type.statusPublished Version

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