A Square-Root Factor-Based Multi-Population Extension of the Mortality Laws

Abstract

In this paper, we present and calibrate a multi-population stochastic mortality model based on latent square-root affine factors of the Cox-Ingersoll and Ross type. The model considers a generalization of the traditional actuarial mortality laws to a stochastic, multi-population and time-varying setting. We calibrate the model to fit the mortality dynamics of UK males and females over the last 50 years. We estimate the optimal states and model parameters using quasi-maximum likelihood techniques.