TY  - RPRT
TI  - A continuous-time stochastic model for the mortality surface of multiple populations
UR  - http://eprints.imtlucca.it/3518/
N2  - 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.
Y1  - 2016/07//
AV  - public
KW  - Keywords: multi-population mortality
KW  -  mortality surface
KW  -  continuous-time
stochastic mortality
KW  -  Kalman filter estimation
KW  -  centralized data fusion.
JEL classification: C13
KW  -  C38
KW  -  G22
KW  -  J11.
M1  - imt_eic_working_paper
A1  - Jevti?, Petar
A1  - Regis, Luca
SN  - 2279-6894
EP  - 31
ID  - eprints3518
PB  - IMT School for Advanced Studies Lucca
ER  -