Calibration of CIR to life table

Calibration of CIR to life table

We’re going to calibrate both a Gompertz model and the stochastic CIR model to the A62F projected table for a 65 years old woman.

Here follows the survival function implied by the table.

Let’s fit a Gompertz model:

## theta =  0.1263346  mu0 =  0.002964637

Let’s calibrate the CIR model to the same survival function

## alpha =  7.989277e-05  theta =  0.1326157  sigma =  0.007732111  mu0 =  0.002239457

Finally we plot some simulated paths out of the calibrated CIR model along with the fitted Gompertz intesity.