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A calendar year mortality model in continuous time

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  • Hainaut, Donatien

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

Abstract

This article proposes a continuous time mortality model based on calendar years. Mortality rates belong to a mean reverting random field indexed by time and age. In order to explain the improvement of life expectancies, the reversion level of mortality rates is the product of a deterministic function of age and of a decreasing jump-diffusion process driving the evolution of longevity. We provide a general closed-form expression for survival probabilities and develop it when the mean reversion level of mortality rates is proportional to a Gompertz-Makeham law. We develop an econometric estimation method and validate the model on the Belgian population.

Suggested Citation

  • Hainaut, Donatien, 2022. "A calendar year mortality model in continuous time," LIDAM Discussion Papers ISBA 2022019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2022019
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    References listed on IDEAS

    as
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    Keywords

    Mortality rates ; longevity ; survival probabilities;
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