This paper is an attempt to present and analyse stochastic mortality models. We propose a couple of continuous-time stochastic models that are natural generalizations of the Gompertz law in the sense that they reduce to the Gompertz function when the volatility parameter is zero. We provide a statistical analysis of the available demographic data to show that the models fit historical data well. Finally, we give some practical examples for the multidimensional models.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am34-1-6,
author = {Jan Iwanik},
title = {Models for stochastic mortality},
journal = {Applicationes Mathematicae},
volume = {34},
year = {2007},
pages = {53-73},
zbl = {1111.62102},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am34-1-6}
}
Jan Iwanik. Models for stochastic mortality. Applicationes Mathematicae, Tome 34 (2007) pp. 53-73. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am34-1-6/