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A continuous-time stochastic model for the mortality surface of multiple populations

Jevtić, Petar and Regis, Luca A continuous-time stochastic model for the mortality surface of multiple populations. EIC working paper series #3/2016 IMT School for Advanced Studies Lucca ISSN 2279-6894.

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We formulate, study and calibrate a continuous-time model for the joint evolution of the mortality surface of multiple populations. We model the mortality intensity by age and population as a mixture of stochastic latent factors, that can be either population-specific or common to all populations. These factors are described by affine time-(in)homogenous stochastic processes. Traditional, deterministic mortality laws can be extended to multi-population stochastic counterparts within our framework. We detail the calibration pro- cedure when factors are Gaussian, using centralized data-fusion Kalman filter. We provide an application based on the mortality of UK males and females. Although parsimonious, the specification we calibrate provides a good fit of the observed mortality surface (ages 0-99) of both sexes between 1960 and 2013.

Item Type: Working Paper (EIC working paper series)
Uncontrolled Keywords: Keywords: multi-population mortality, mortality surface, continuous-time stochastic mortality, Kalman filter estimation, centralized data fusion. JEL classification: C13, C38, G22, J11.
Subjects: H Social Sciences > HB Economic Theory
Research Area: Economics and Institutional Change
Depositing User: Ms T. Iannizzi
Date Deposited: 19 Jul 2016 08:36
Last Modified: 19 Jul 2016 08:36
URI: http://eprints.imtlucca.it/id/eprint/3518

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