A Family of Mortality Jump Models Applied to U.S. Data

Asia-Pacific Journal of Risk and Insurance, Forthcoming

24 Pages Posted: 18 Aug 2011 Last revised: 1 Apr 2014

See all articles by Hua Chen

Hua Chen

University of Hawaii at Manoa

Date Written: September 10, 2013

Abstract

Mortality models are fundamental to quantify mortality/longevity risks and provide the basis of pricing and reserving. In this paper, 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 U.S. mortality data and is the best fit compared with other jump models.

Keywords: Mortality Models, Asymmetric Jumps

Suggested Citation

Chen, Hua, A Family of Mortality Jump Models Applied to U.S. Data (September 10, 2013). Asia-Pacific Journal of Risk and Insurance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1911688 or http://dx.doi.org/10.2139/ssrn.1911688

Hua Chen (Contact Author)

University of Hawaii at Manoa ( email )

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