Research Article

A stochastic proportional hazard model for the force of mortality

  1. Emilia Di Lorenzo1,*,
  2. Marilena Sibillo2,
  3. Gerarda Tessitore3

Article first published online: 15 NOV 2006

DOI: 10.1002/for.1005

Issue

Journal of Forecasting

Journal of Forecasting

Volume 25, Issue 7, pages 529–536, November 2006

Additional Information

How to Cite

Lorenzo, E. D., Sibillo, M. and Tessitore, G. (2006), A stochastic proportional hazard model for the force of mortality. J. Forecast., 25: 529–536. doi: 10.1002/for.1005

Author Information

  1. 1

    Università di Napoli ‘Federico II’, Naples, Italy

  2. 2

    Università di Salerno, Salerno, Italy

  3. 3

    Seconda Universitàd: Napoli, Capua, Italy

*Dipartimento di Matematica & Statistica, Università di Napoli ‘Federico II’, via Cintia, Complesso Monte S. Angelo, 80126 Naples, Italy

Publication History

  1. Issue published online: 15 NOV 2006
  2. Article first published online: 15 NOV 2006

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Keywords:

  • survival law;
  • mortality forecasting;
  • CIR model;
  • covariance equivalence

Abstract

In order to avoid ‘frailty’ in deterministic assumptions concerning survival law, in this paper stochastic volatility in the force of mortality is considered. In particular, mortality rates are studied by means of a stochastic model of CIR type. A method for estimating its parameters is presented and an example of application, based on simulations of the process, is shown. Empirical results and comparison with a traditional model illustrate predictive performance and the flexibility of the model.  Copyright © 2006 John Wiley & Sons, Ltd.

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