Quadratic stochastic intensity and prospective mortality tables
AbstractWe 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 InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 43 (2008)
Issue (Month): 1 (August)
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Web page: http://www.elsevier.com/locate/inca/505554
Other versions of this item:
- Christian Gourieroux & Alain Monfort, 2007. "Quadratic Stochastic Intensity and Prospective Mortality Tables," Working Papers 2007-30, Centre de Recherche en Economie et Statistique.
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