Article ID Journal Published Year Pages File Type
5077464 Insurance: Mathematics and Economics 2008 11 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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