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.
引用
收藏
页码：529 / 536
页数：8
相关论文
共 50 条
  • [41] Proportional reversed hazard rate model and its applications
    Gupta, Ramesh C.
    Gupta, Rameshwar D.
    JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2007, 137 (11) : 3525 - 3536
  • [42] The Mexican banking crisis - A proportional hazard and duration model
    Trillo, FH
    Escarpulli, OL
    TRIMESTRE ECONOMICO, 2001, 68 (272): : 551 - 601
  • [43] Semiparametric estimation of a proportional hazard model with unobserved heterogeneity
    Horowitz, JL
    ECONOMETRICA, 1999, 67 (05) : 1001 - 1028
  • [44] EVALUATION OF THE REGRESSION PARAMETER ESTIMATORS IN THE PROPORTIONAL HAZARD MODEL
    KAMAKURA, T
    YANAGIMOTO, T
    BIOMETRIKA, 1983, 70 (02) : 530 - 533
  • [45] The Cox proportional Hazard model on duration of birth process
    Wuryandari, Triastuti
    Kartiko, Sri Haryatmi
    Danardono
    7TH INTERNATIONAL SEMINAR ON NEW PARADIGM AND INNOVATION ON NATURAL SCIENCE AND ITS APPLICATION, 2018, 1025
  • [46] The singularity of the information matrix of the mixed proportional hazard model
    Ridder, G
    Woutersen, TM
    ECONOMETRICA, 2003, 71 (05) : 1579 - 1589
  • [47] FAILURE PREDICTION USING THE COX PROPORTIONAL HAZARD MODEL
    Abrahamsson, Pekka
    Fronza, Ilenia
    Vlasenko, Jelena
    ICSOFT 2011: PROCEEDINGS OF THE 6TH INTERNATIONAL CONFERENCE ON SOFTWARE AND DATABASE TECHNOLOGIES, VOL 2, 2011, : 201 - 206
  • [48] Optimization of maintenance policy using the proportional hazard model
    Samrout, M.
    Chatelet, E.
    Kouta, R.
    Chebbo, N.
    RELIABILITY ENGINEERING & SYSTEM SAFETY, 2009, 94 (01) : 44 - 52
  • [49] Proportional reversed hazard rates weighted frailty model
    Kayid, M.
    Izadkhah, S.
    Abouammoh, A. M.
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 528
  • [50] Stochastic comparisons of parallel systems when components have proportional hazard rates
    Kochar, Subhash
    Xu, Maochao
    PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES, 2007, 21 (04) : 597 - 609
12345