Petar Jevtic

McMaster University - Department of Mathematics and Statistics

1280 Main Street West

Hamilton, Ontario L8S 4M4

Canada

SCHOLARLY PAPERS

5

DOWNLOADS

323

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

The Joint Mortality of Couples in Continuous Time

Number of pages: 17 Posted: 01 Nov 2016
Petar Jevtic and Thomas R. Hurd
McMaster University - Department of Mathematics and Statistics and McMaster University - Department of Mathematics and Statistics
Downloads 102 (357,890)

Abstract:

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joint life mortality, continuous time mortality models

2.

Multi-Population Mortality Modelling with Levy Processes

Number of pages: 24 Posted: 25 Jul 2016 Last Revised: 19 Oct 2016
Chengwei Qin and Petar Jevtic
McMaster University - Department of Mathematics and Statistics and McMaster University - Department of Mathematics and Statistics
Downloads 69 (450,696)

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Multi-population mortality model, Generalized linear models, Mixture Levy process, Common factors, Dependence structure

3.

Multivariate Marked Poisson Processes and Market Related Multidimensional Information Flows

Number of pages: 21 Posted: 28 Dec 2016 Last Revised: 18 Feb 2017
Petar Jevtic, Marina Marena and Patrizia Semeraro
McMaster University - Department of Mathematics and Statistics, University of Eastern Piedmont and Politecnico of Turin
Downloads 68 (454,117)

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marked Poisson processes, subordinated Lévy processes, multivariate Poisson random measure, multivariate subordinators, multivariate asset modelling, multivariate variance gamma process

4.

Assessing the Solvency of Insurance Portfolios Via a Continuous Time Cohort Model

IMT Lucca EIC Working Paper Series 07 July 2014
Number of pages: 37 Posted: 25 Sep 2014
Petar Jevtic and Luca Regis
McMaster University - Department of Mathematics and Statistics and University of Turin
Downloads 47 (538,145)

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longevity risk; natural hedging; continuous-time cohort models for longevity; solvency of insurance portfolios; solvency requirements; longevity and interest-rate risk

5.

Assessing the Solvency Risk of Insurance Portfolios via a Continuous Time Cohort Model

Netspar Discussion Paper No. 02/2014-086
Number of pages: 34 Posted: 13 Mar 2015
Petar Jevtic and Luca Regis
McMaster University - Department of Mathematics and Statistics and University of Turin
Downloads 37 (588,624)

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