Modelling Italian mortality rates with a geometric-type fractional Ornstein-Uhlenbeck process

01/03/2019

∙

by   Francisco Delgado-Vences, et al.

∙

0

∙

share

We propose to model mortality hazard rates for human population using the exponential of the solution of a stochastic differential equation (SDE). The noise in the SDE is a fractional Brownian motion. We will use the well-known fractional Ornstein-Uhlenbeck process. Using the Hurst parameter we showed that mortality rates exhibit long-term memory. The proposed model is a generalization of the model introduced by [6], where they used an SDE driven with a Brownian motion. We tested our model with the Italian population between the years 1950 to 2004.