A stochastic proportional hazard model for the force of mortality

被引：4
|
作者：
Di Lorenzo, Emilia
Sibillo, Marilena
Tessitore, Gerarda
机构：
[1] Univ Naples Federico II, Dipartimento Matemat & Stat, I-80126 Naples, Italy
[2] Univ Salerno, I-84100 Salerno, Italy
[3] Univ Naples 2, Capua, Italy
来源：
JOURNAL OF FORECASTING | 2006年 / 25卷 / 07期
关键词：
survival law; mortality forecasting; CIR model; covariance equivalence;
D O I：
10.1002/for.1005
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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 (c) 2006 John Wiley & Sons, Ltd.
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页码：529 / 536
页数：8
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