A Three-factor model for mortality modeling

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      <subfield code="a">A Three-factor model for mortality modeling</subfield>
      <subfield code="c">Vincenzo Russo...[et.al]</subfield>
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      <subfield code="a">In this article, we propose a three-factor model for mortality modeling in which the dynamic of the entire term structure of mortality rates can be expressed in closed form as a function of three variables x, t, and y. Due to this feature, we are able to project mortality rates across age (x), across time (t), and for y years (y = 1) after t. Our proposal differs from most existing models where only the one-year mortality rate is considered (y = 1). The model is characterized by three parameters that are calibrated yearly. We describe the stochastic dynamic of the three factors with correlated autoregressive processes. We generate stochastic scenarios accounting for the historical mortality trend in a consistent manner with the Gompertz law. Using population mortality data for Italy, the U.S., and the U.K., the model¿s forecasting capability is assessed, and a comparative analysis with other models is provided.</subfield>
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      <subfield code="w">MAP20077000239</subfield>
      <subfield code="t">North American actuarial journal</subfield>
      <subfield code="d">Schaumburg : Society of Actuaries, 1997-</subfield>
      <subfield code="x">1092-0277</subfield>
      <subfield code="g">06/07/2015 Tomo 19 Número 2 - 2015 </subfield>
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