A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States

North American Actuarial Journal - Tập 13 Số 1 - Trang 1-35 - 2009
Nicole El Karoui1, David Blake2, Kevin Dowd3, Guy Coughlan4, David Epstein4, Alen Ong4, Igor Balevich5
1Maxwell Institute for Mathematical Sciences and Department of Actuarial Mathematics and Statistics , Heriot-Watt University , Edinburgh , EH14 4AS , United Kingdom
2Pensions Institute, Cass Business School, City University, 1 06 Bunhill Row , London , EC1Y 8TZ , United Kingdom
3Centre for Risk and Insurance Studies , Nottingham University Business School, Jubilee Campus , Nottingham , NG8 1BB , United Kingdom
4Pension ALM Group, JPMorgan Chase Bank, 125 London Wall , London , EC2Y 5AJ , United Kingdom
5Pension Advisory Group, JPMorgan Securities Inc., 270 Park Avenue , New York , NY 1 001 7–2070

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