Quadratic stochastic intensity and prospective mortality tables

C. Gourieroux; A. Monfort

doi:10.1016/j.insmatheco.2008.05.010

Quadratic stochastic intensity and prospective mortality tables

C. Gourieroux, A. Monfort

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	174-184
Number of pages	11
Journal	Insurance: Mathematics and Economics
Volume	43
Issue number	1
DOIs	https://doi.org/10.1016/j.insmatheco.2008.05.010
Publication status	Published - 1 Aug 2008
Externally published	Yes

Keywords

Affine model
Kalman filter
Life insurance
Longevity risk
Mortality linked securities (MLS)
Mortality table
Quadratic model

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

Access to Document

10.1016/j.insmatheco.2008.05.010

Cite this

@article{3155e87866a443a99540844997cbf60d,

title = "Quadratic stochastic intensity and prospective mortality tables",

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 = "Affine model, Kalman filter, Life insurance, Longevity risk, Mortality linked securities (MLS), Mortality table, Quadratic model",

author = "C. Gourieroux and A. Monfort",

year = "2008",

month = aug,

day = "1",

doi = "10.1016/j.insmatheco.2008.05.010",

language = "English",

volume = "43",

pages = "174--184",

journal = "Insurance: Mathematics and Economics",

issn = "0167-6687",

number = "1",

}

TY - JOUR

T1 - Quadratic stochastic intensity and prospective mortality tables

AU - Gourieroux, C.

AU - Monfort, A.

PY - 2008/8/1

Y1 - 2008/8/1

N2 - 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.

AB - 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.

KW - Affine model

KW - Kalman filter

KW - Life insurance

KW - Longevity risk

KW - Mortality linked securities (MLS)

KW - Mortality table

KW - Quadratic model

U2 - 10.1016/j.insmatheco.2008.05.010

DO - 10.1016/j.insmatheco.2008.05.010

M3 - Article

AN - SCOPUS:47249103759

SN - 0167-6687

VL - 43

SP - 174

EP - 184

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 1

ER -

Quadratic stochastic intensity and prospective mortality tables

Abstract

Keywords

UN SDGs

Access to Document

Fingerprint

Cite this