When Mortality Meets Memory: Pricing Risk in the Long Haul
TL;DR for operators Pandemics do not behave like polite spreadsheet shocks. They arrive, damage the mortality curve, interact with interest-rate conditions, and then leave traces. The paper studied here builds a joint model for excess mortality and interest rates using mixed fractional Brownian motion, a stochastic process designed to capture both short-term noise and long-range dependence.1 ...