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...

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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

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Abstract 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.
AbstractList In this paper we derive the survival probability with mortality intensity based on stochastic differential equations with jumpdiffusion. Also, we consider the problem of estimation of parameters appearing in mortality intensity models by using the maximum likelihood method. Numerical examples are given. KCI Citation Count: 4
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.
Author Park, Hyun Suk
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  organization: Centre for Mathematics and its Applications, Australian National University, Canberra 0200, Australia
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Cites_doi 10.1080/034612301750077374
10.2139/ssrn.873870
10.1016/S0167-6687(01)00084-1
10.1016/j.insmatheco.2005.05.003
10.1016/S0167-6687(01)00093-2
10.1016/j.insmatheco.2004.05.003
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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
Title The survival probability of mortality intensity with jump-diffusion
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