Quadratic Stochastic Intensity and Prospective Mortality Tables
We consider a quadratic stochastic intensity model with Gaussian autore-gressive factor, derive explicit formulas for the predictive mortality tables andprovide the recursive updating formulas are also provided. We also explainhow to use appropriately the Kalman ¯lter to estimate the parameters ofthe model and to approximate the values of the underlying factor. Thismethodology is applied to the French human mortality tables.
Year of publication: |
2007
|
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Authors: | Gourieroux, Christian ; Monfort, Alain |
Institutions: | Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) |
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