Is Mortality Dead? Stochastic Forward Force of Mortality Rate Determined by No Arbitrage

@inproceedings{MILTERSEN2006IsMD,
  title={Is Mortality Dead? Stochastic Forward Force of Mortality Rate Determined by No Arbitrage},
  author={KRISTIAN R. MILTERSEN},
  year={2006}
}
  • KRISTIAN R. MILTERSEN
  • Published 2006
Our idea is to introduce the concept of forward force of mortality without any limitations on the dependence between the stochastic behavior of the forward force of mortality rate and the stochastic behavior of the forward rate. Heath, Jarrow, and Morton (1992) derive the behavior of future term structures of interest rates by no-arbitrage conditions. We use the same approach to develop the stochastic behavior of future term structures of forces of mortality rates. Relying on the insight from… CONTINUE READING
Highly Cited
This paper has 18 citations. REVIEW CITATIONS

From This Paper

Topics from this paper.
13 Citations
6 References
Similar Papers

References

Publications referenced by this paper.

Similar Papers

Loading similar papers…