[PDF] Top 20 Modelling stochastic bivariate mortality

... The copula approach has become a popular method of modelling the (non sto- chastic) bivariate survival function of the two lives of one couple. Both Frees et al. (1996) and Carriere (2000) present fully ... See full document

... Zealand mortality data for ...Zealand mortality data to compare several simulation strategies for assessing the risk in mortality projections with a Poisson Lee-Carter ...the mortality of ... See full document

... a stochastic recurrence equation derived from a bivariate Lévy process (de Haan and Karandikar ...financial modelling area such as option pricing, insur- ance and perpetuities, or risk ... See full document

... of mortality data for the ...sophisticated stochastic mor- tality models that have been developed in recent years to measure longevity risk in national populations, since these models require more data to ... See full document

... the bivariate distributions in the proposed family have identical marginal distributions, in modelling and analysis of data, a crucial aspect that differentiate them in a practical situation is the ... See full document

... In each case we found that there was indeed a breakpoint visible in the residuals falling some- where around the 1970’s confirming previous demographic research. We have not considered the cause of the structural break ... See full document

... Elliptical probability distributions have gained prominence in recent years as effective tools for multivariate modelling in risk management. Elliptical distributions, introduced by Kelker (1970) and further ... See full document

... Permanent repository link: http://openaccess.city.ac.uk/12895/ Link to published version: http://dx.doi.org/10.1016/j.insmatheco.2008.06.005 Copyright and reuse: City Research Online aim[r] ... See full document

... phenomenon mortality risk. Evidence of mortality risk is provided by Cairns et ...continuous-time stochastic process for the instan- taneous mortality intensity, which can be interpreted as a ... See full document

... predator mortality estimated using Abbott’s ...a bivariate stochastic process model for both predation loss and natural mortality as an extension of the univariate stochastic model in ... See full document

... relate mortality to individual risk ...Dynamic stochastic models are ideally required to capture the complexity of causative factors and allow for heterogeneous risk, however, models of this sort are in ... See full document

... Many products, like internal combustion en- gines, exhaust and cooling systems, turbines, nu- clear reactors, are subjected to stochastic thermo- mechanical fatigue (TMF) loading that can cause fatigue failures ... See full document

... Following the recent trend in continuous-time models in …nance, we develop a multivariate model. Multivariate models can deal, for instance, with multiple explanatory factors in asset pricing or with multiple yields or ... See full document

... socio-economic mortality of older Danish males using the above four-part modelling ...low mortality to allow subdivision of the national population into 10 ... See full document

... a stochastic component seem to be appealing instruments, because they re- sult in prediction intervals stating how likely possible future values ...a stochastic model on the basis of a singular value ... See full document

... order stochastic cycle can be represented as an element of a bivariate first order vector autoregressive process, or VAR(1), where the transition matrix is associated with a Givens ... See full document

... multilevel modelling is appropriate since some women have more than one birth in the 10-year period and it is possible that fertility behaviour may be correlated for births to the same ...of mortality in ... See full document

... a bivariate geostatistical model in order to study the relationship between the distributions of prevalence and intensity of Loa loa infections at community ... See full document

... investigation. In Appendix A we make a detailed study of the stochastic model of interacting species, with the aim of demonstrating the implications of fitting a diffusion model to a physical system. We find that ... See full document

... Results: We test the proposed model on simulation data and apply it to the surveillance data from the 2009 H1N1 pandemic in Hong Kong. In the simulation experiment, our model achieves high accuracy in parameter ... See full document