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A proposition of generalized stochastic Milevsky–Promislov mortality models

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  • Piotr S̀liwka
  • Lesław Socha

Abstract

The aim of this article is to propose a new approach to the estimation of the mortality rates based on two extended Milevsky and Promislov models: the first one with colored excitations modeled by Gaussian linear filters and the second one with excitations modeled by a continuous non-Gaussian process. The exact analytical formulas for theoretical mortality rates based on Gaussian linear scalar filter models have been derived. The theoretical values obtained in both cases were compared with theoretical mortality rates based on a classical Lee–Carter model, and verified on the basis of empirical Polish mortality data. The obtained results confirm the usefulness of the switched model based on the continuous non-Gaussian process for modeling mortality rates.

Suggested Citation

  • Piotr S̀liwka & Lesław Socha, 2018. "A proposition of generalized stochastic Milevsky–Promislov mortality models," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2018(8), pages 706-726, September.
    • Handle: RePEc:taf:sactxx:v:2018:y:2018:i:8:p:706-726
    DOI: 10.1080/03461238.2018.1431805
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