Related papers: Stochastic mortality models: An infinite dimension…

We investigate joint modeling of longevity trends using the spatial statistical framework of Gaussian Process regression. Our analysis is motivated by the Human Mortality Database (HMD) that provides unified raw mortality tables for nearly…

We consider a generic class of stochastic particle-based models whose state at an instant in time is described by a set of continuous degrees of freedom (e.g. positions), and the length of this set changes stochastically in time due to…

We introduce a flexible and tractable infinite-dimensional stochastic volatility model. More specifically, we consider a Hilbert space valued Ornstein-Uhlenbeck-type process, whose instantaneous covariance is given by a pure-jump stochastic…

In mortality modelling, cohort effects are often taken into consideration as they add insights about variations in mortality across different generations. Statistically speaking, models such as the Renshaw-Haberman model may provide a…

Recent studies have identified long-range dependence as a key feature in the dynamics of both mortality and interest rates. Building on this insight, we develop a novel bi-variate stochastic framework based on mixed fractional Brownian…

In this paper we propose a new method for approximating the nonstationary moment dynamics of one dimensional Markovian birth-death processes. By expanding the transition probabilities of the Markov process in terms of Poisson-Charlier…

To date, we have seen the emergence of a large literature on multivariate disease mapping. That is, incidence of (or mortality from) multiple diseases is recorded at the scale of areal units where incidence (mortality) across the diseases…

Excess mortality, i.e. the difference between expected and observed mortality, is used to quantify the death toll of mortality shocks, such as infectious disease-related epidemics and pandemics. However, predictions of expected mortality…

This study proposes a linear-rational joint survival mortality model based on the Wishart process. The Wishart process, which is a stochastic continuous matrix affine process, allows for a general dependency between the mortality…

Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions of dynamic mortality models with cohort features have been proposed in the literature to account for these factors under…

We propose a stochastic model for evolution. Births and deaths of species occur with constant probabilities. Each new species is associated with a fitness sampled from the uniform distribution on [0,1]. Every time there is a death event…

In order to numerically solve high-dimensional nonlinear PDEs and alleviate the curse of dimensionality, a stochastic particle method (SPM) has been proposed to capture the relevant feature of the solution through the adaptive evolution of…

In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of progressively measurable and bounded processes, but instead…

The significance of mortality modeling extends across multiple research areas, ranging from life insurance valuation to optimal lifetime decision-making. Existing approaches, such as mortality laws and factor-based models, often fall short…

There has been growing interest on forecasting mortality. In this article, we propose a novel dynamic Bayesian approach for modeling and forecasting the age-at-death distribution, focusing on a three-components mixture of a Dirac mass, a…

In this paper we show how to approximate a Heath-Jarrow-Morton dynamics for the forward prices in commodity markets with arbitrage-free models which have a finite dimensional state space. Moreover, we recover a closed form representation of…

We provide existence and uniqueness of global (and local) mild solutions for a general class of semilinear stochastic partial differential equations driven by Wiener processes and Poisson random measures under local Lipschitz and linear…

One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain period, while the classical forward is a financial agreement…

A stochastic genetic model for biological aging is introduced bridging the gap between the bit-string Penna model and the Pletcher-Neuhauser approach. The phenomenon of exponentially increasing mortality function at intermediate ages and…

This work deals with the one-dimensional Stefan problem with a general time-dependent boundary condition at the fixed boundary. Stochastic solutions are obtained using discrete random walks, and the results are compared with analytic…