Mortality Regimes and Pricing.

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Milidonis, Andreas, Yijia, Lin and Samuel Cox.
North American Actuarial Journal, 15 (2): 266-289.
Publication year: 2011
  • We introduce regime-switching models in mortality dynamics.
  • Regime-switching models are shown to outperform competing models.
  • Lee-Carter (1992) model is extended to incorporate regime-switching.
  • Mortality securities are priced using regime-switching models.