In order to avoid ‘frailty’in deterministic assumptions concerning survival law,in this paper stochastic volatility in the force of mortality is considered. In par-ticular, mortality rates are studied by means of a stochastic model of CIR type.Amethod for estimating its parameters is presented and an example of appli-cation, based on simulations of the process, is shown. Empirical results andcomparison with a traditional model illustrate predictive performance and theflexibility of the model.
A Stochastic Proportional Hazard Model for the Force of Mortality
SIBILLO, Marilena;
2006-01-01
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 par-ticular, mortality rates are studied by means of a stochastic model of CIR type.Amethod for estimating its parameters is presented and an example of appli-cation, based on simulations of the process, is shown. Empirical results andcomparison with a traditional model illustrate predictive performance and theflexibility of the model.File in questo prodotto:
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