Stochastic Mortality Modelling: Some Extensions Based on Lévy CARMA Models

24 Pages Posted: 23 Aug 2017

See all articles by Asmerilda Hitaj

Asmerilda Hitaj

Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi

Lorenzo Mercuri

University of Milan

Edit Rroji

Polytechnic University of Milan - Department of Mathematics

Date Written: August 21, 2017

Abstract

Force of mortality is defined using an exponential function of Legendre polynomials, as in Renshaw et al. (1996), plus an extra term which captures mortality shocks. For the extra term Ballotta Haberman (2006) and Ahmadi et al. (2015) consider an Ornstein-Uhlenbeck while we suggest using Lévy Continuous Autoregressive Moving Average (CARMA) models. The proposed model encompasses as special cases the existing approaches.

We present some extensions in the theory of Lévy CARMA models that enter in the construction of the model estimation procedure. Males life tables for USA, Taiwan and Japan for the time period 1998-2013 are used for the presentation of fitting and projection results.

Keywords: Stochastic Mortality, CARMA(p,q) model, Lévy process

JEL Classification: C02, G22

Suggested Citation

Hitaj, Asmerilda and Mercuri, Lorenzo and Rroji, Edit, Stochastic Mortality Modelling: Some Extensions Based on Lévy CARMA Models (August 21, 2017). Available at SSRN: https://ssrn.com/abstract=3023218 or http://dx.doi.org/10.2139/ssrn.3023218

Asmerilda Hitaj

Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi ( email )

Milano, 20126
Italy

Lorenzo Mercuri (Contact Author)

University of Milan ( email )

Via Festa del Perdono, 7
Milan, 20122
Italy

Edit Rroji

Polytechnic University of Milan - Department of Mathematics ( email )

Via Bonardi, 9
Milano, MI 20133
Italy

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