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A continuous-time stochastic model for the mortality surface of multiple populations

Author

Listed:
  • Peter Jevtic

    (Department of Mathematics and statistics, McMaster University, Canada)

  • Luca Regis

    (IMT School for Advanced Studies Lucca)

Abstract

We formulate, study and calibrate a continuous-time model for the joint evolution of the mortality surface of multiple populations. We model the mortality intensity by age and population as a mixture of stochastic latent factors, that can be either population-specific or common to all populations. These factors are described by affine time-(in)homogenous stochastic processes. Traditional, deterministic mortality laws can be extended to multi-population stochastic counterparts within our framework. We detail the calibration procedure when factors are Gaussian, using centralized data-fusion Kalman filter. We provide an application based on the mortality of UK males and females. Although parsimonious, the specification we calibrate provides a good fit of the observed mortality surface (ages 0-99) of both sexes between 1960 and 2013.

Suggested Citation

  • Peter Jevtic & Luca Regis, 2016. "A continuous-time stochastic model for the mortality surface of multiple populations," Working Papers 03/2016, IMT School for Advanced Studies Lucca, revised Jul 2016.
    • Handle: RePEc:ial:wpaper:03/2016
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    References listed on IDEAS

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    Cited by:

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    3. Petar Jevtić & Luca Regis, 2021. "A Square-Root Factor-Based Multi-Population Extension of the Mortality Laws," Mathematics, MDPI, vol. 9(19), pages 1-17, September.
    4. Zeddouk, Fadoua & Devolder, Pierre, 2022. "Pricing and hedging of longevity basis risk through securitization," LIDAM Discussion Papers ISBA 2022038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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    6. Ling Wang & Mei Choi Chiu & Hoi Ying Wong, 2020. "Volterra mortality model: Actuarial valuation and risk management with long-range dependence," Papers 2009.09572, arXiv.org.
    7. Cupido, Kyran & Jevtić, Petar & Paez, Antonio, 2020. "Spatial patterns of mortality in the United States: A spatial filtering approach," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 28-38.

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    More about this item

    Keywords

    multi-population mortality; mortality surface; continuous-time stochastic mortality; Kalman filter estimation; centralized data fusion;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends, Macroeconomic Effects, and Forecasts

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