We introduce a novel stochastically correlated two-factor (i.e., bivariate) diffusion process under the square-root format, for which we analytically obtain the corresponding solutions for the conditional moment-generating functions and conditional chara
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Scalar square-root diffusion processes, also called CIR processes, due to Cox et al. (1986), have two properties that are important in applications in finance: (i) they ensure mean reversion of the state variables towards a long-run level and (ii) unlike the Vasicek (1977) model, they ...
Scalar square-root diffusion processes, also called CIR processes, due to Cox et al. (1986), have two properties that are important in applications in finance: (i) they ensure mean reversion of the state variables towards a long-run level and (ii) unlike the Vasicek (1977) model, they ...
In this paper, we present and calibrate a multi-population stochastic mortality model based on latent square-root affine factors of the Cox-Ingersoll and Ross type. The model considers a generalization of the traditional actuarial mortality laws to a stochastic, multi-population and time-varying set...
In this paper, we present and calibrate a multi-population stochastic mortality model based on latent square-root affine factors of the Cox-Ingersoll and Ross type. The model considers a generalization of the traditional actuarial mortality laws to a stochastic, multi-population and time-varying set...
In this paper, we present and calibrate a multi-population stochastic mortality model based on latent square-root affine factors of the Cox-Ingersoll and Ross type. The model considers a generalization of the traditional actuarial mortality laws to a stochastic, multi-population and time-varying set...
mathematics Article A Square-Root Factor-Based Multi-Population Extension of the Mortality Laws Petar Jevtic´ 1 and Luca Regis 2,3,* 1 School of Mathematical and Statistical Sciences, Arizona State University, Tempe, AZ 85287, USA; petar.jevtic@asu.edu 2 ESOMAS Department, University of ...