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Quadratic stochastic intensity and prospective mortality tables. (English) Zbl 1140.91418

Summary: We consider a quadratic stochastic intensity model with a Gaussian autoregressive factor, derive explicit formulas for predictive mortality tables and recursive updating formulas are also provided. We also explain how to use appropriately the Kalman filter to estimate the parameters of the model and to approximate the values of the underlying factor. This methodology is applied to French human mortality tables.

MSC:

91B30 Risk theory, insurance (MSC2010)
91B82 Statistical methods; economic indices and measures
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