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q-fin.RM2016
Crunching Mortality and Life Insurance Portfolios with extended CreditRisk+
Jonas Hirz, Uwe Schmock, Pavel V. Shevchenko
Using an extended version of the credit risk model CreditRisk+, we develop a flexible framework with numerous applications amongst which we find stochastic mortality modelling, for…
q-fin.RM2015
Actuarial Applications and Estimation of Extended~CreditRisk
Jonas Hirz, Uwe Schmock, Pavel V. Shevchenko
We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen f…