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A stochastic proportional hazard model for the force of mortality

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  • Marilena Sibillo

    (Universit� di Salerno, Salerno, Italy)

  • Emilia Di Lorenzo

    (Universit� di Napoli 'Federico II', Naples, Italy)

  • Gerarda Tessitore

    (Seconda Universit�d: 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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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 25 (2006)
Issue (Month): 7 ()
Pages: 529-536

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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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