A calendar year mortality model in continuous time

Donatien Hainaut ()
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Donatien Hainaut: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 2022019, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: This article proposes a continuous time mortality model based on calendar years. Mortality rates belong to a mean reverting random field indexed by time and age. In order to explain the improvement of life expectancies, the reversion level of mortality rates is the product of a deterministic function of age and of a decreasing jump-diffusion process driving the evolution of longevity. We provide a general closed-form expression for survival probabilities and develop it when the mean reversion level of mortality rates is proportional to a Gompertz-Makeham law. We develop an econometric estimation method and validate the model on the Belgian population.

Keywords: Mortality rates; longevity; survival probabilities (search for similar items in EconPapers)
Pages: 28
Date: 2022-06-23
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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvad:2022019

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