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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.

Suggested Citation

  • Christian Gourieroux & Alain Monfort, 2007. "Quadratic Stochastic Intensity and Prospective Mortality Tables," Working Papers 2007-30, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2007-30
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    2. Biffis, Enrico & Blake, David, 2010. "Securitizing and tranching longevity exposures," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 186-197, February.
    3. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    4. Patrick Gagliardini & Christian Gouriéroux, 2011. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 237-280, Spring.
    5. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
    6. Christian Gourieroux & Yang Lu, 2013. "Long Term Care and Longevity," Working Papers 2013-16, Center for Research in Economics and Statistics.
    7. Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2015. "A Quadratic Kalman Filter," Journal of Econometrics, Elsevier, vol. 187(1), pages 43-56.
    8. Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016. "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.
    9. Stéphane Loisel, 2010. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00517902, HAL.

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