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.
2006
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]
File in questo prodotto:
File Dimensione Formato  
A stochastic proportional hazard model.pdf

non disponibili

Tipologia: Altro materiale allegato
Licenza: Accesso privato/ristretto
Dimensione 166.19 kB
Formato Adobe PDF
166.19 kB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/103077
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 7
  • ???jsp.display-item.citation.isi??? 4
social impact