A stochastic proportional hazard model for the force of mortality

Marilena Sibillo, Emilia Di Lorenzo and Gerarda Tessitore
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Gerarda Tessitore: Seconda Universitàd: Napoli, Capua, Italy, Postal: Seconda Universitàd: Napoli, Capua, Italy

Journal of Forecasting, 2006, vol. 25, issue 7, 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.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:25:y:2006:i:7:p:529-536

DOI: 10.1002/for.1005

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