This paper develops a framework for developing forecasts of future mortality rates. We discuss the suitability of six stochastic mortality models for forecasting future mortality and estimating the density of mortality rates at different ages. In particular, the models are assessed individually with reference to the following qualitative criteria that focus on the plausibility of their forecast...

This paper examines the relationship between fertility and human capital investment and its implications for economic growth, focusing on the effects of declining mortality. Unlike the existing literature, this paper stresses the role of uncertainty about the number of surviving children. If the marginal utility of a surviving child is convex, then there will be a precautionary demand for child...

This study sets out a framework to evaluate the goodness of fit of stochastic mortality models and applies it to six different models estimated using English &Welsh male mortality data over ages 64–89 and years 1961–2007. The methodology exploits the structure of each model to obtain various residual series that are predicted to be iid standard normal under the null hypothesis of model adequacy...

While deterministic age distribution models have been extensively studied and applied in various disciplines, little work has been devoted to understanding the role of stochasticity in birth and mortality terms. In this paper, we analyse a stochastic M'Kendrick-von Foerster equation in which jumps in mortality represent intense losses of population due to external events. We present explicit so...

This paper proposes a general approach to stochastic mortality modelling, where the logit transforms of annual survival probabilities in different age groups are modelled by linear combinations of user-specified basis functions. The flexible construction allows for an easy incorporation of populationspecific characteristics and user preferences into the model. Moreover, the structure enables th...

In this paper we use doubly stochastic processes (or Cox processes) in order to model the random evolution of mortality of an individual. These processes have been widely used in the credit risk literature in modelling default arrival, and in this context have proved to be quite flexible, especially when the intensity process is of the affine class. We investigate the applicability of time-homo...

We consider the choices available to a pension plan member at the time of retirement for conversion of his personal or defined contribution (DC) pension fund into a stream of income in retirement. In particular, we compare the purchase at retirement age of a conventional life annuity (that is, a bond-based investment) against a variety of programmes that involve differing exposures to equities ...

A standard approach to the fitting of stochastic mortality models is to maximise a likelihood function underpinned by an assumption that deaths follow a conditionally independent Poisson distribution. This, in turn, has led researchers to develop increasingly complex models in an effort to improve in-sample explanatory power. This paper, using the Cairns-BlakeDowd (CBD) model as an example, pro...

In a companion paper two stochastic models, useful for the initial behaviour of a parasitic infection, were introduced. Now we analyse the long term behaviour. First a law of large numbers is proved which allows us to analyse the deterministic analogues of the stochastic models. The behaviour of the deterministic models is analogous to the stochastic models in that again three basic reproductio...

We propose the use of parametric bootstrap methods to investigate the finite sample distribution of the maximum likelihood estimator for the parameter vector of a stochastic mortality model. Particular emphasis is placed on the effect that the size of the underlying population has on the distribution of the MLE in finite samples, and on the dependency structure of the resulting estimator: that ...