<scp>A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration</scp>

J. G. Cairns, Andrew; Blake, David; Dowd, Kevin

doi:10.1111/j.1539-6975.2006.00195.x

Public

A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration

Published in Journal of Risk & Insurance • Nov 29, 2006

Authors:

Andrew J. G. Cairns

David Blake

Kevin Dowd

Abstract

Abstract In this article, we consider the evolution of the post‐age‐60 mortality curve in the United Kingdom and its impact on the pricing of the risk associated with aggregate mortality improvements over time: so‐called longevity risk. We introduce a two‐factor stochastic model for the development ...

Subject

Longevity risk

Allowance (engineering)

Bond

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