Economics at your fingertips  

A stochastic proportional hazard model for the force of mortality

Marilena Sibillo, Emilia Di Lorenzo and Gerarda Tessitore
Additional contact information
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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) 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.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1002/for.1005

Access Statistics for this article

Journal of Forecasting is currently edited by Derek W. Bunn

More articles in Journal of Forecasting from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

Page updated 2020-09-06
Handle: RePEc:jof:jforec:v:25:y:2006:i:7:p:529-536