%I IMT School for Advanced Studies Lucca
%T A continuous-time stochastic model for the mortality surface of multiple populations
%L eprints3518
%A Petar Jevti?
%A Luca Regis
%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.
%K Keywords: multi-population mortality, mortality surface, continuous-time
stochastic mortality, Kalman filter estimation, centralized data fusion.
JEL classification: C13, C38, G22, J11.
%D 2016
%N 3