Quickest drift change detection in Lévy-type force of mortality model

I will present the quickest drift change detection problem for a Lévy process consisting of both a continuous Gaussian part and a jump component. I will consider a Bayesian framework with an exponential a priori distribution of the change point and an optimality criterion based on a probability of false alarm and an expected delay of the detection. The approach is based on the optimal stopping theory and solving some boundary value problem. The talk will be supplemented by a numerical analysis related with the construction of the Generalized Shiryaev-Roberts statistics. In particular, I will show how to apply this method (after appropriate calibration) to analyse life tables and to model the force of mortality in population with a drift changing in time. The talk will be based on joint work with Z. Palmowski and Ł. Płociniczak.