We consider a quadratic stochastic intensity model with a Gaussian autoregressive factor, derive explicit formulas for predictive mortality tables and recursive updating formulas are also provided. We also explain how to use appropriately the Kalman filter to estimate the parameters of the model and to approximate the values of the underlying factor. This methodology is applied to French human mortality tables.
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Volume (Year): 43 (2008) Issue (Month): 1 (August) Pages: 174-184 Download reference. The following formats are available: HTML
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