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

ENSAE
CEPREMAP Centre pour la Recherche Économique et ses Applications
University of Toronto
Conservatoire National des Arts et Métiers

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	174-184
Nombre de pages	11
journal	Insurance: Mathematics and Economics
Volume	43
Numéro de publication	1
Les DOIs	https://doi.org/10.1016/j.insmatheco.2008.05.010
état	Publié - 1 août 2008
Modification externe	Oui

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10.1016/j.insmatheco.2008.05.010

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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.",

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

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AU - Monfort, A.

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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

Résumé

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