Stochastic mortality models: an infinite-dimensional approach

被引:5
作者
Tappe, Stefan [1 ]
Weber, Stefan [1 ]
机构
[1] Leibniz Univ Hannover, Inst Math Stochast, D-30167 Hannover, Germany
关键词
Mortality; Longevity; Forward mortality; Heath-Jarrow-Morton; Mortality improvements; Dynamic point processes; Stochastic partial differential equations (SPDEs); TERM STRUCTURE; EXISTENCE;
D O I
10.1007/s00780-013-0219-2
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality models driven by a (possibly infinite-dimensional) Wiener process and a compensated Poisson random measure. A major innovation of the paper is the introduction of a family of processes called forward mortality improvements which provide a flexible tool for a simple construction of stochastic forward mortality models. In practice, the notion of mortality improvements is a convenient device for the quantification of changes in mortality rates over time, and enables, for example, the detection of cohort effects. We show that the forward mortality rates satisfy Heath-Jarrow-Morton-type consistency conditions which translate to conditions on the forward mortality improvements. While the consistency conditions for the forward mortality rates are analogous to the classical conditions in the context of bond markets, the conditions for the forward mortality improvements possess a different structure. Forward mortality models include a cohort parameter besides the time horizon, and these two dimensions are coupled in the dynamics of consistent models of forward mortality improvements. In order to obtain a unified framework, we transform the systems of Ito processes which describe the forward mortality rates and improvements. In contrast to term structure models, the corresponding stochastic partial differential equations (SPDEs) describe the random dynamics of two-dimensional surfaces rather than curves.
引用
收藏
页码:209 / 248
页数:40
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