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A stochastic proportional hazard model for the force of mortality

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Author Info
Marilena Sibillo (Università di Salerno, Salerno, Italy)
Emilia Di Lorenzo (Università di Napoli 'Federico II', Naples, Italy)
Gerarda Tessitore (Seconda Universitàd: Napoli, Capua, Italy)
Abstract

In order to avoid 'frailty' in deterministic assumptions concerning survival law, in this paper stochastic volatility in the force of mortality is considered. In particular, mortality rates are studied by means of a stochastic model of CIR type. A method for estimating its parameters is presented and an example of application, based on simulations of the process, is shown. Empirical results and comparison with a traditional model illustrate predictive performance and the flexibility of the model.  Copyright © 2006 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1005
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 25 (2006)
Issue (Month): 7 ()
Pages: 529-536
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:jof:jforec:v:25:y:2006:i:7:p:529-536

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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