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A Family of Mortality Jump Models Applied to US Data

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  • Chen Hua

    (Department of Risk, Insurance and Healthcare Management, The Fox School of Business, Temple University, Philadelphia, PA 19122, USA)

Abstract

Mortality models are fundamental to quantify mortality/longevity risks and provide the basis of pricing and reserving. In this article, we consider a family of mortality jump models and propose a new generalized Lee–Carter model with asymmetric double exponential jumps. It is asymmetric in terms of both time periods of impact and frequency/severity profiles between adverse mortality jumps and longevity jumps. It is mathematically tractable and economically intuitive. It degenerates to a transitory exponential jump model when fitting the US mortality data and is the best fit compared with other jump models.

Suggested Citation

  • Chen Hua, 2013. "A Family of Mortality Jump Models Applied to US Data," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 8(1), pages 105-121, December.
    • Handle: RePEc:bpj:apjrin:v:8:y:2013:i:1:p:105-121:n:4
    DOI: 10.1515/apjri-2013-0015
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    References listed on IDEAS

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    1. Chen, Hua & Cox, Samuel H. & Wang, Shaun S., 2010. "Is the Home Equity Conversion Mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 371-384, April.
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