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

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