Lévy CARMA models for shocks in mortality
Abstract. Recent literature on mortality modeling suggests to include in the dynamics of mortality rates the effects of time, age, the interaction of these two and a term for possible shocks. In this paper we investigate models that use Legendre…
Simulation and Inference for Stochastic Processes with YUIMA
Contains both theory and code with step-by-step examples and figures. Uses YUIMA package to implement the latest techniques available in the literature of inference for stochastic processes. Shows how to create the description of very abstract models in…
