Media A Calendar Year Mortality Model in Continuous Time

A Calendar Year Mortality Model in Continuous Time

uploaded October 26, 2023 Views: 158 Comments: 0 Favorite: 4 CPD
Speakers: 
Description:

 

This article proposes a continuous time mortality model based on calendar years. Mortality rates belong to a mean-reverting random field indexed by time and age. In order to explain the improvement of life expectancies, the reversion level of mortality rates is the product of a deterministic function of age and of a decreasing jump-diffusion process driving the evolution of longevity. We provide a general closed-form expression for survival probabilities and develop it when the mean reversion level of mortality rates is proportional to a Gompertz–Makeham law. We develop an econometric estimation method and validate the model on the Belgian population.

Tags:
Categories: LIFE
Content groups:  content2023

0 Comments

There are no comments yet. Add a comment.