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Dynamic modelling of life table data

par Janssen, Jacques ;Skiadas, Christos C.H.
Référence Applied stochastic models and data analysis, 11, 1, page (35-49)
Publication Publié, 1995

Article révisé par les pairs

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Résumé :

In this paper we formulate a dynamic model expressing the human life table data by using the first‐passage‐time theory for a stochastic process. The model is derived analytically and then is applied to the mortality data in Belgium and France. A stochastic simulation is also performed for the ‘health state function’ proposed and the related stochastic paths. Furthermore the implications of the proposed model and the results derived for pension funds and option theory are discussed. Copyright © 1995 John Wiley & Sons, Ltd