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A Multivariate Forward-Rate Mortality Framework

Financial independence

Daniel H. Alai, Katja Ignatieva and Michael Sherris

Stochastic mortality models have been developed for a range of applications from demographic projections to financial management. We assess and further develop this model. We generalise random shocks from a univariate gamma to a univariate Tweedie distribution and allow for the distributions to vary by age.

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