Modeling stochastic mortality with O-U type processes

  • Jing Zheng
  • Chang-qing Tong
  • Gui-jun Zhang


Modeling log-mortality rates on O-U type processes and forecasting life expectancies are explored using U.S. data. In the classic Lee-Carter model of mortality, the time trend and the age-specific pattern of mortality over age group are linear, this is not the feature of mortality model. To avoid this disadvantage, O-U type processes will be used to model the log-mortality in this paper. In fact, this model is an AR(1) process, but with a nonlinear time drift term. Based on the mortality data of America from Human Mortality database (HMD), mortality projection consistently indicates a preference for mortality with O-U type processes over those with the classical Lee-Carter model. By means of this model, the low bounds of mortality rates at every age are given. Therefore, lengthening of maximum life expectancies span is estimated in this paper.


mortality stochastic forecasting O-U type process 

MR Subject Classification

62F12 62M05 60H10 60J60 


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Copyright information

© Editorial Committee of Applied Mathematics-A Journal of Chinese Universities and Springer-Verlag GmbH Germany, part of Springer Nature 2018

Authors and Affiliations

  1. 1.College of EconomicsHangzhou Dianzi UniversityHangzhouChina

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