Table 3.

This table compares the parameter values (upper panel) and the long-term means of the interest rate process and excess mortality process (lower panel) for each of the three scenarios S1–S3. The parameters without ⁎ are the ones in model (2.8) under P and those with ⁎ are the ones in model (2.11) under Q.

	Scenario S1		Scenario S2		Scenario S3
	Under P	Under Q	Under P	Under Q	Under P	Under Q
Parameter
$m_1\leftrightarrow m_1^{⁎}$	0.006	0.006	0.016	0.016	0.006	0.006
$m_2\leftrightarrow m_2^{⁎}$	0.030	0.056	−0.217	−0.211	0.030	−0.008
${\nu }_1\leftrightarrow {\nu }_1^{⁎}$	0.000	0.000	0.000	0.000	0.000	0.000
${\nu }_2\leftrightarrow {\nu }_2^{⁎}$	0.010	0.024	0.026	0.070	0.010	−0.038
λ↔λ⁎	8.390	8.569	1.909	1.960	8.390	8.416
Long-term mean
${\{r_t\}}_{t\ge 0}$	0.020	0.021	0.0220	0.0221	0.020	0.022
${\{{\mu }_t\}}_{t\ge 0}$	0.059	0.072	−0.0102	−0.0099	0.059	0.039