relation: http://eprints.imtlucca.it/3518/
title: A continuous-time stochastic model for the mortality surface of multiple populations
creator: Jevtić, Petar
creator: Regis, Luca
subject: HB Economic Theory
description: 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.
publisher: IMT School for Advanced Studies Lucca
date: 2016-07
type: Working Paper
type: NonPeerReviewed
format: application/pdf
language: en
rights: cc_by_nd
identifier: http://eprints.imtlucca.it/3518/1/EIC_WP_3_2016.pdf
identifier:   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.