Stochastic Mortality Under Measure Changes
Enrico Biffis, Michel Denuit and Pierre Devolder
We provide a self-contained analysis of stochastic mortality in continuous time.
We give emphasis to the meaning and implications of the assumptions that allow
the setup to be tractable and stable under changes of measure. We introduce a
class of stochastic intensities of mortality that generalize the model proposed by
Lee and Carter (1992) and see how they can be employed for fair valuations of
life insurance contracts and mortality-indexed securities. We provide an example
of model calibration based on the French annuity market.