The survival probability of mortality intensity with jump-diffusion

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 g...

Full description

Saved in:
Bibliographic Details
Published inJournal of the Korean Statistical Society Vol. 37; no. 4; pp. 355 - 363
Main Author Park, Hyun Suk
Format Journal Article
LanguageEnglish
Published Singapore Elsevier B.V 01.12.2008
Springer Singapore
한국통계학회
Subjects
60J75
62P05
Applied Statistics
Bayesian Inference
Jump-diffusions
Mortality intensity
Partial differential equation
primary
secondary
Statistical Theory and Methods
Statistics
Statistics and Computing/Statistics Programs
Survival probability
통계학
secondary
Survival probability
Mortality intensity
Jump-diffusions
Partial differential equation
primary
primary 60J75
secondary 62P05
Online AccessGet full text
ISSN1226-3192
2005-2863
DOI10.1016/j.jkss.2008.06.001

Cover

More Information
Summary: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.
Bibliography:G704-000337.2008.37.4.005
ISSN:1226-3192
2005-2863
DOI:10.1016/j.jkss.2008.06.001