eprintid: 3518
rev_number: 14
eprint_status: archive
userid: 6
dir: disk0/00/00/35/18
datestamp: 2016-07-19 08:36:41
lastmod: 2016-07-19 08:36:41
status_changed: 2016-07-19 08:36:41
type: monograph
metadata_visibility: show
creators_name: Jevtić, Petar
creators_name: Regis, Luca
creators_id: 
creators_id: luca.regis@imtlucca.it
title: A continuous-time stochastic model for the mortality surface of multiple populations
ispublished: pub
subjects: HB
divisions: EIC
full_text_status: public
monograph_type: imt_eic_working_paper
keywords: Keywords: multi-population mortality, mortality surface, continuous-time
stochastic mortality, Kalman filter estimation, centralized data fusion.
JEL classification: C13, C38, G22, J11.
abstract: 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.
date: 2016-07
date_type: published
number: 3
publisher: IMT School for Advanced Studies Lucca
pages: 31
institution: IMT School for Advanced Studies Lucca
issn: 2279-6894
citation:   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.      
document_url: http://eprints.imtlucca.it/3518/1/EIC_WP_3_2016.pdf