A continuous-time stochastic model for the mortality surface of multiple populations

Petar Jevtić and Luca Regis ()

Insurance: Mathematics and Economics, 2019, vol. 88, issue C, 181-195

Abstract: We formulate, study and calibrate a continuous-time model for the joint evolution of the mortality surface of multiple populations. We model the mortality intensity by age and population as a mixture of stochastic latent factors, that can be either population-specific or common to all populations. These factors are described by affine time-(in)homogeneous stochastic processes. Traditional, deterministic mortality laws can be extended to multi-population stochastic counterparts within our framework. We detail the calibration procedure when factors are Gaussian, using centralized data-fusion Kalman filter. We provide an application based on the joint mortality of UK and Dutch males and females. Although parsimonious, the specification we calibrate provides a good fit of the observed mortality surface (ages 0–89) of both sexes and populations between 1960 and 2013.

Keywords: Multi-population mortality; Mortality surface; Continuous-time stochastic mortality; Kalman filter estimation; Centralized data fusion (search for similar items in EconPapers)
JEL-codes: C13 C38 G22 J11 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (8)

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Related works:
Working Paper: A continuous-time stochastic model for the mortality surface of multiple populations (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:88:y:2019:i:c:p:181-195

DOI: 10.1016/j.insmatheco.2019.07.001

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