A stochastic proportional hazard model for the force of mortality

Marilena Sibillo, Emilia Di Lorenzo and Gerarda Tessitore
Additional contact information
Marilena Sibillo: Università di Salerno, Salerno, Italy, Postal: Università di Salerno, Salerno, Italy
Emilia Di Lorenzo: Università di Napoli 'Federico II', Naples, Italy, Postal: Università di Napoli 'Federico II', Naples, Italy
Gerarda Tessitore: Seconda Universitàd: Napoli, Capua, Italy, Postal: Seconda Universitàd: Napoli, Capua, Italy

Journal of Forecasting, 2006, vol. 25, issue 7, pages 529-536

Abstract: In order to avoid 'frailty' in deterministic assumptions concerning survival law, in this paper stochastic volatility in the force of mortality is considered. In particular, mortality rates are studied by means of a stochastic model of CIR type. A method for estimating its parameters is presented and an example of application, based on simulations of the process, is shown. Empirical results and comparison with a traditional model illustrate predictive performance and the flexibility of the model.  Copyright © 2006 John Wiley & Sons, Ltd.

Downloads: (external link)
http://hdl.handle.net/10.1002/for.1005 Link to full text; subscription required (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this article

Journal of Forecasting is edited by Derek W. Bunn

More articles in Journal of Forecasting from John Wiley & Sons, Ltd.
Series data maintained by Christopher F. Baum ().