Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077464 | Insurance: Mathematics and Economics | 2008 | 11 Pages |
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
C. Gourieroux, A. Monfort,