help with stochastic mortality modelling

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newbie;( il 21 Feb 2012
Modificato: Azzi Abdelmalek il 18 Ott 2013
I'm trying to simulate stochastic remaining lifetime with varying survival probabilities which decrease as age increases.(from a life table). Anyone able to help me with sample of such coding?

Risposte (2)

Jessica Lam
Jessica Lam il 21 Feb 2012
could you please give more details of your question? For example, dataset, the model you considered, etc.

Skewed Kurtosis
Skewed Kurtosis il 22 Feb 2012
You could in fact draw stochastic paths of the death records of the individuals, you have just to simulate the deaths keeping in minds that these are random variables with Poisson distribution and the intensity is given by the deterministic table you mentioned (you should first transform it to cohort table!). In such a case you are just modeling the "sampling risk" and not mortality nor longevity risks.

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