David Epstein

J.P. Morgan Chase & Co.

Executive Director

60 Wall St.

New York, NY 10260

United States

SCHOLARLY PAPERS

5

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Top 24,572

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SSRN CITATIONS
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Top 9,445

in Total Papers Citations

58

CROSSREF CITATIONS

50

Scholarly Papers (5)

1.

A Quantitative Comparison of Stochastic Mortality Models Using Data from England & Wales and the United States

Number of pages: 77 Posted: 11 Feb 2009
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Nottingham University Business School (NUBS), Pacific Global Advisors and J.P. Morgan Chase & Co.
Downloads 1,328 (14,737)
Citation 66

Abstract:

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Stochastic mortality, CBD-Perks models, Lee-Carter models, age effect, period effect, cohort effect, maximum likelihood, Bayes Information Criterion, robustness

2.

Mortality Density Forecasts: An Analysis of Six Stochastic Mortality Models

Pensions Institute Discussion Paper No. PI-0801
Number of pages: 70 Posted: 10 Feb 2009 Last Revised: 10 Jul 2009
Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Nottingham University Business School (NUBS), Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 339 (91,667)
Citation 41

Abstract:

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Stochastic mortality model, cohort erect, fan charts, model risk, fore-casting, model selection criteria

3.

Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period Ahead-Density Forecasts

Number of pages: 43 Posted: 29 Apr 2009 Last Revised: 10 Jul 2009
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 195 (161,486)
Citation 25

Abstract:

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backtesting, forecasting performance, mortality models

4.

Evaluating the Goodness of Fit of Stochastic Mortality Models

Number of pages: 53 Posted: 04 May 2009
Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics, City University London - Cass Business School, Pacific Global Advisors, J.P. Morgan Chase & Co. and J.P. Morgan
Downloads 131 (226,404)
Citation 16

Abstract:

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goodness of fit, mortality models

5.

The Valuation of a Firm Advertising Optimally

Quarterly Review of Economics and Finance, Vol. 38 No. 2, Summer 1998, WBS Finance Group Research Paper No. 1
Posted: 03 May 1998
University of Oxford - Nomura Centre for Mathematical Finance, University of Warwick - Finance Group, ETH Zürich - Department of Mathematics, ABN Amro and J.P. Morgan Chase & Co.

Abstract:

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