# Stochastic mortality models: An infinite dimensional approach

## TL;DR

This paper develops a comprehensive infinite-dimensional stochastic framework for modeling future mortality rates, introducing forward mortality improvements and SPDEs to capture cohort effects and complex dynamics.

## Contribution

It introduces a novel family of forward mortality improvements and formulates their dynamics using SPDEs, extending classical models to include cohort effects and infinite-dimensional processes.

## Key findings

- Forward mortality rates satisfy HJM-type conditions.
- Forward mortality improvements include cohort parameters.
- SPDEs describe the dynamics of two-dimensional mortality surfaces.

## Abstract

Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality models driven by a (possibly infinite dimensional) Wiener process and a compensated Poisson random measure. A major innovation of the paper is the introduction of a family of processes called forward mortality improvements which provide a flexible tool for a simple construction of stochastic forward mortality models. In practice, the notion of mortality improvements are a convenient device for the quantification of changes in mortality rates over time that enables, for example, the detection of cohort effects. We show that the forward mortality rates satisfy Heath-Jarrow-Morton-type consistency conditions which translate to the forward mortality improvements. While the consistency conditions of the forward mortality rates are analogous to the classical conditions in the context of bond markets, the conditions of the forward mortality improvements possess a different structure: forward mortality models include a cohort parameter besides the time horizon; these two dimensions are coupled in the dynamics of consistent models of forwards mortality improvements. In order to obtain a unified framework, we transform the systems of It\^o-processes which describe the forward mortality rates and improvements: in contrast to term-structure models, the corresponding stochastic partial differential equations (SPDEs) describe the random dynamics of two-dimensional surfaces rather than curves.