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A stochastic proportional hazard model for the force of mortality

Author

Listed:
  • 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.

Suggested Citation

  • Marilena Sibillo & Emilia Di Lorenzo & Gerarda Tessitore, 2006. "A stochastic proportional hazard model for the force of mortality," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(7), pages 529-536.
  • Handle: RePEc:jof:jforec:v:25:y:2006:i:7:p:529-536
    DOI: 10.1002/for.1005
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    References listed on IDEAS

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    1. Renshaw, A. E. & Haberman, S., 2003. "On the forecasting of mortality reduction factors," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 379-401, July.
    2. Renshaw, A. E. & Haberman, S. & Hatzopoulos, P., 1997. "On the Duality of Assumptions Underpinning the Construction of Life Tables," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 27(01), pages 5-22, May.
    3. Renshaw, A.E. & Haberman, S. & Hatzopoulos, P., 1996. "The Modelling of Recent Mortality Trends in United Kingdom Male Assured Lives," British Actuarial Journal, Cambridge University Press, vol. 2(02), pages 449-477, June.
    4. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    5. Beekman, John A. & Fuelling, Clinton P., 1990. "Interest and mortality randomness in some annuities," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 185-196, September.
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