Quadratic Stochastic Intensity and Prospective Mortality Tables

Christian Gourieroux and Alain Monfort

No 2007-30, Working Papers from Center for Research in Economics and Statistics

Abstract: We consider a quadratic stochastic intensity model with Gaussian autore-gressive factor, derive explicit formulas for the predictive mortality tables andprovide the recursive updating formulas are also provided. We also explainhow to use appropriately the Kalman ¯lter to estimate the parameters ofthe model and to approximate the values of the underlying factor. Thismethodology is applied to the French human mortality tables.

Pages: 58
Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
http://crest.science/RePEc/wpstorage/2007-30.pdf Crest working paper version (application/pdf)

Related works:
Journal Article: Quadratic stochastic intensity and prospective mortality tables (2008)
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: https://EconPapers.repec.org/RePEc:crs:wpaper:2007-30

Access Statistics for this paper

More papers in Working Papers from Center for Research in Economics and Statistics Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Murielle Jules Maintainer-Email : murielle.jules@ensae.Fr.