The Application of Affine Processes in Multi-Cohort Mortality Model
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2015/01/01
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Journal
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Indian UGC (journal)
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Refrences19
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Citations5
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Yajing Xu
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Michael Sherris
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Jonathan Ziveyi
Cite
Xu, Yajing, et al. “The Application of Affine Processes in Multi-Cohort Mortality Model”. SSRN Electronic Journal, 2015, https://doi.org/10.2139/ssrn.2603524.
Xu, Y., Sherris, M., & Ziveyi, J. (2015). The Application of Affine Processes in Multi-Cohort Mortality Model. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2603524
Xu, Yajing, Michael Sherris, and Jonathan Ziveyi. “The Application of Affine Processes in Multi-Cohort Mortality Model”. SSRN Electronic Journal, 2015. https://doi.org/10.2139/ssrn.2603524.
Xu Y, Sherris M, Ziveyi J. The Application of Affine Processes in Multi-Cohort Mortality Model. SSRN Electronic Journal. 2015;.
Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| On age-period-cohort parametric mortality rate projections | Insurance: Mathematics and Economics |
| 53 | 2009 |
| Consistent dynamic affine mortality models for longevity risk applications | Insurance: Mathematics and Economics |
| 47 | 2013 |
| Mortality surface by means of continuous time cohort models | Insurance: Mathematics and Economics |
| 30 | 2013 |
| A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States | North American Actuarial Journal |
| 450 | 2009 |
A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration | Journal of Risk and Insurance |
| 697 | 2006 |
Refrences Analysis
The category
Social Sciences: Economic theory. Demography: Economics as a science 16
is the most frequently represented among the references in this article. It primarily includes studies from Insurance: Mathematics and Economics and North American Actuarial Journal. The chart below illustrates the number of referenced publications per year.
Refrences used by this article by year
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Pricing longevity bond with affine-jump-diffusion multi-cohort mortality model | Journal of Computational and Applied Mathematics |
| 2024 | |
| Cohort and value-based multi-country longevity risk management | Scandinavian Actuarial Journal |
| 7 | 2020 |
Market Price of Longevity Risk for a Multi‐Cohort Mortality Model With Application to Longevity Bond Option Pricing | Journal of Risk and Insurance |
| 8 | 2019 |
| Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing | SSRN Electronic Journal | 1 | 2018 | |
PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN SHRINKAGE | ASTIN Bulletin |
| 14 | 2017 |
Citations Analysis
The category
Social Sciences: Economic theory. Demography: Economics as a science 3
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN SHRINKAGE and was published in 2017. The most recent citation comes from a 2024 study titled Pricing longevity bond with affine-jump-diffusion multi-cohort mortality model. This article reached its peak citation in 2024, with 1 citations. It has been cited in 5 different journals. Among related journals, the Journal of Computational and Applied Mathematics cited this research the most, with 1 citations. The chart below illustrates the annual citation trends for this article.