Quadratic stochastic intensity and prospective mortality tables

Christian S. Gourieroux and Alain Monfort ()

Insurance: Mathematics and Economics, 2008, vol. 43, issue 1, pages 174-184

Abstract: We consider a quadratic stochastic intensity model with a Gaussian autoregressive factor, derive explicit formulas for predictive mortality tables and recursive updating formulas are also provided. We also explain how to use appropriately the Kalman filter to estimate the parameters of the model and to approximate the values of the underlying factor. This methodology is applied to French human mortality tables.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/B6V8N ... be627fee6c023ca71af0
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Quadratic Stochastic Intensity and Prospective Mortality Tables (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:1:p:174-184

Access Statistics for this article

Insurance: Mathematics and Economics is edited by R. Kaas, H. U. Gerber, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Series data maintained by Wendy Shamier ().