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…
The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations
Abstract. The YUIMA Project is an open source and collaborative effort aimed at developing the R package yuima for simulation and inference of stochastic differential equations. In the yuima package stochastic differential equations can be of very…
