The survival probability of mortality intensity with jump-diffusion

Hyun Suk Park

doi:10.1016/j.jkss.2008.06.001

The survival probability of mortality intensity with jump-diffusion

Hyun Suk Park^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	355-363
Number of pages	9
Journal	Journal of the Korean Statistical Society
Volume	37
Issue number	4
DOIs	https://doi.org/10.1016/j.jkss.2008.06.001
Publication status	Published - Dec 2008

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@article{efa28ee863194d05994f0495ac5ff653,

title = "The survival probability of mortality intensity with jump-diffusion",

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.",

keywords = "60J75, 62P05, Jump-diffusions, Mortality intensity, Partial differential equation, Survival probability, primary, secondary",

author = "Park, \{Hyun Suk\}",

year = "2008",

month = dec,

doi = "10.1016/j.jkss.2008.06.001",

language = "English",

volume = "37",

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T1 - The survival probability of mortality intensity with jump-diffusion

AU - Park, Hyun Suk

PY - 2008/12

Y1 - 2008/12

N2 - 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.

AB - 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.

KW - 60J75

KW - 62P05

KW - Jump-diffusions

KW - Mortality intensity

KW - Partial differential equation

KW - Survival probability

KW - primary

KW - secondary

UR - https://www.scopus.com/pages/publications/54049090401

U2 - 10.1016/j.jkss.2008.06.001

DO - 10.1016/j.jkss.2008.06.001

M3 - Article

SN - 1226-3192

VL - 37

SP - 355

EP - 363

JO - Journal of the Korean Statistical Society

JF - Journal of the Korean Statistical Society

IS - 4

ER -

The survival probability of mortality intensity with jump-diffusion

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