Extensions on the Hatzopoulos–Sagianou Multiple-Components Stochastic Mortality Model

Extensions on the Hatzopoulos–Sagianou Multiple-Components Stochastic Mortality Model

In this paper, we present extensions of the Hatzopoulos–Sagianou (2020) (HS) multiple-component stochastic mortality model. Our aim is to thoroughly evaluate and stress test the HS model by deploying various link functions, using generalised linear models, and diverse distributions in the model’s es...

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Bibliographic Details
Main Authors: Aliki Sagianou, Peter Hatzopoulos
Format: Article
Language:English
Published: MDPI AG 2022-06-01
Series:Risks
Subjects:
mortality modelling
generalised linear models
link functions
heavy-tailed distributions
longevity risk
solvency II
Online Access:https://www.mdpi.com/2227-9091/10/7/131

Internet

https://www.mdpi.com/2227-9091/10/7/131

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