Title of article :
Quadratic stochastic intensity and prospective mortality tables
Author/Authors :
Gourieroux، نويسنده , , C. and Monfort، نويسنده , , A.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
Abstract :
We consider a quadratic stochastic intensity model with a Gaussian autoregressive factor, derive explicit formulas for predictive mortality tables and recursive updating formulas are also provided. We also explain how to use appropriately the Kalman filter to estimate the parameters of the model and to approximate the values of the underlying factor. This methodology is applied to French human mortality tables.
Keywords :
Mortality table , life insurance , Mortality linked securities (MLS) , Kalman filter , Quadratic model , Affine model , Longevity risk
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics