A continuous-time stochastic model for the mortality surface of multiple populations

We formulate, study and calibrate a continuous-time model for the joint evolution of the mortality surface of multiple populations. We model the mortality intensity by age and population as a mixture of stochastic latent factors, that can be either population-specific or common to all populations. These factors are described by affine time-(in)homogeneous stochastic processes. Traditional, deterministic mortality laws can be extended to …