Zhiping Huang

University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR)

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Sydney, New South Wales NSW 2052

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  • University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR)

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The Application of Affine Processes in Cohort Mortality Risk Models

UNSW Business School Research Paper Forthcoming
Number of pages: 28 Posted: 07 Sep 2019
Zhiping Huang, Michael Sherris, Andres Villegas and Jonathan Ziveyi
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, University of New South Wales (UNSW) and University of New South Wales; ARC Centre of Excellence in Population Ageing Research and School of Risk & Actuarial Studies
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Abstract:

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mortality models, continuous time, cohort curve, affine rates, Kalman filter