%0 Report
%9 EIC working paper series
%A Jevtić, Petar
%A Regis, Luca
%D 2016
%F eprints:3518
%I IMT School for Advanced Studies Lucca
%K Keywords: multi-population mortality, mortality surface, continuous-time  stochastic mortality, Kalman filter estimation, centralized data fusion.  JEL classification: C13, C38, G22, J11.
%N 3
%T A continuous-time stochastic model for the mortality surface of multiple populations
%U http://eprints.imtlucca.it/3518/
%X 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.