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; M., Sibillo; G., Tessitore. - In: JOURNAL OF FORECASTING. - ISSN 0277-6693. - STAMPA. - 25:(2006), pp. 529-536. [10.1002/FOR.1005]
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.| File | Dimensione | Formato | |
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