The survival probability of mortality intensity with jump-diffusion

Hyun Suk Park*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    5 Citations (Scopus)

    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.

    Original languageEnglish
    Pages (from-to)355-363
    Number of pages9
    JournalJournal of the Korean Statistical Society
    Volume37
    Issue number4
    DOIs
    Publication statusPublished - Dec 2008

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