A calendar year mortality model in continuous time

Donatien Hainaut

ASTIN Bulletin, 2023, vol. 53, issue 2, 351-376

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.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:cup:astinb:v:53:y:2023:i:2:p:351-376_8

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