Models for stochastic mortality
Volume 34 / 2007
Applicationes Mathematicae 34 (2007), 53-73
MSC: 62P05, 60H30.
DOI: 10.4064/am34-1-6
Abstract
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.
