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Stéphane Loisel, Daniel Serant

Public reference bibliography and cataloged PDF materials authored or published by Stéphane Loisel, Daniel Serant.

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In the core of longevity risk: hidden dependence in stochastic mortality models and cut-offs in prices of longevity swaps

Year: 2007 • Source: hal.science • Listed PDF

In most stochastic mortality models, either one stochastic intensity process (for example a jump-diffusion process) or a collection of independent processes is used to model the stochastic evolution of survival probabili...