Quadratic stochastic intensity and prospective mortality tables

Christian Gourieroux and Alain Monfort

Insurance: Mathematics and Economics, 2008, vol. 43, issue 1, 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
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Citations: View citations in EconPapers (8)

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Working Paper: Quadratic Stochastic Intensity and Prospective Mortality Tables (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:1:p:174-184

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