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Quadratic stochastic intensity and prospective mortality tables

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  • Gourieroux, C.
  • Monfort, A.

Abstract

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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Bibliographic Info

Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 43 (2008)
Issue (Month): 1 (August)
Pages: 174-184

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Handle: RePEc:eee:insuma:v:43:y:2008:i:1:p:174-184

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Web page: http://www.elsevier.com/locate/inca/505554

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  18. Brouhns, Natacha & Denuit, Michel & Vermunt, Jeroen K., 2002. "A Poisson log-bilinear regression approach to the construction of projected lifetables," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 373-393, December.
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Cited by:
  1. Biffis, Enrico & Blake, David, 2010. "Securitizing and tranching longevity exposures," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 186-197, February.
  2. Christian Gourieroux & Yang Lu, 2013. "Long Term Care and Longevity," Working Papers 2013-16, Centre de Recherche en Economie et Statistique.

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