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A stochastic proportional hazard model for the force of mortality

✍ Scribed by Emilia Di Lorenzo; Marilena Sibillo; Gerarda Tessitore

Publisher: John Wiley and Sons
Year: 2006
Tongue: English
Weight: 166 KB
Volume: 25
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.1005

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✦ Synopsis

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 particular, 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 application, 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. Copyright © 2006 John Wiley & Sons, Ltd.

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