4 citations · 4 across the 5 of their papers we have counts for
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q-fin.CP2015
Forecasting Leading Death Causes in Australia using Extended CreditRisk
Pavel V. Shevchenko, Jonas Hirz, Uwe Schmock
Recently we developed a new framework in Hirz et al (2015) to model stochastic mortality using extended CreditRisk methodology which is very different from traditional time ser…
q-fin.MF2015
Itô's formula for finite variation Lévy processes: The case of non-smooth functions
Ramin Okhrati, Uwe Schmock
Extending Itô's formula to non-smooth functions is important both in theory and applications. One of the fairly general extensions of the formula, known as Meyer-Itô, applies to on…
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…