In order to avoid ‘frailty’ in deterministic assumptions concerning survival law, in this paper stochastic volatility in the force of mortality is considered. In par- ticular, 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 appli- cation, 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.

A stochastic proportional hazard model for the force of mortality

DI LORENZO, EMILIA;
2006

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 par- ticular, 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 appli- cation, 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.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11588/103077
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