135 - Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz’ law of mortality

DNB Working Papers
Date 12 April 2007
A generalisation of Gompertz’ distribution is proposed, and it is shown that continuous heterogeneous mortality models with Gamma distributed frailty have lifetime random variables distributed as the difference of two such generalised Gompertz random variables. With this result, limitations of existing frailty-based mortality models are identified. The approach taken in this paper allows the frailty distribution to be interpreted as a lifetime reduction distribution and enables application of heterogeneous survival models with a stronger relation to empirically identifiable concepts. JEL codes: C16, J11. Key words: Heterogeneous mortality models, Frailty models, Gompertz distribution, Identifiability.