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Quadratic Stochastic Intensity and Prospective Mortality Tables

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  • Christian Gourieroux

    (Crest)

  • Alain Monfort

    (Crest)

Abstract

We consider a quadratic stochastic intensity model with Gaussian autore-gressive factor, derive explicit formulas for the predictive mortality tables andprovide the recursive updating formulas are also provided. We also explainhow to use appropriately the Kalman ¯lter to estimate the parameters ofthe model and to approximate the values of the underlying factor. Thismethodology is applied to the French human mortality tables.

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Bibliographic Info

Paper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2007-30.

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Length: 58
Date of creation: 2007
Date of revision:
Handle: RePEc:crs:wpaper:2007-30

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  1. Feng, D. & Gourieroux, C. & Jasiak, J., 2008. "The ordered qualitative model for credit rating transitions," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(1), pages 111-130, January.
  2. Christian Gourieroux & Razvan Sufana, 2005. "A Classification of Two Factor Affine Diffusion Term Structure Models," Working Papers, Centre de Recherche en Economie et Statistique 2005-42, Centre de Recherche en Economie et Statistique.
  3. Serge Darolles & Christian Gourieroux & Joann Jasiak, 2006. "Structural Laplace Transform and Compound Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(4), pages 477-503, 07.
  4. Andrew J. G. Cairns & David Blake & Kevin Dowd, 2006. "A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 687-718.
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  7. Leippold, Markus & Wu, Liuren, 2002. "Asset Pricing under the Quadratic Class," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(02), pages 271-295, June.
  8. Darrell Duffie & Rui Kan, 1996. "A Yield-Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 6(4), pages 379-406.
  9. Christian Gourieroux & Joann Jasiak, 2007. "Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing
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  10. Schrager, David F., 2006. "Affine stochastic mortality," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 81-97, February.
  11. Dahl, Mikkel, 2004. "Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 113-136, August.
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  14. Yoosef Maghsoodi, 1996. "Solution Of The Extended Cir Term Structure And Bond Option Valuation," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 6(1), pages 89-109.
  15. C. Gourieroux, 2006. "Continuous Time Wishart Process for Stochastic Risk," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 25(2-3), pages 177-217.
  16. Constantinides, George M, 1992. "A Theory of the Nominal Term Structure of Interest Rates," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 531-52.
  17. Biffis, Enrico, 2005. "Affine processes for dynamic mortality and actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 443-468, December.
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Cited by:
  1. Christian Gourieroux & Yang Lu, 2013. "Long Term Care and Longevity," Working Papers, Centre de Recherche en Economie et Statistique 2013-16, Centre de Recherche en Economie et Statistique.
  2. Biffis, Enrico & Blake, David, 2010. "Securitizing and tranching longevity exposures," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 186-197, February.

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