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Lee–Carter Mortality Forecasting With Age-Specific Enhancement
Insurance: Mathematics and Economics, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Steven Haberman, A E Renshaw
exaly +3 more sources
The Mortality of the Italian Population: Smoothing Techniques on the Lee–Carter Model
Annals of Applied Statistics, 2011 Published in at http://dx.doi.org/10.1214/10-AOAS394 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org)
Gabriella Piscopo, Maria Russolillo
exaly +6 more sources
Inference for the Lee-Carter Model With An AR(2) Process
Methodology and Computing in Applied Probability, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Li, Deyuan +3 more
openaire +2 more sources
2005
We consider a class of stochastic intensities of mortality that generalizes the model proposed by Lee and Carter (1992), allowing general diffusions to drive the mortality time-trend. We analyze the stability of such class of intensities under measure changes and show how a risk-neutral version of the generalized Lee-Carter model can be employed for ...
Enrico Biffis, Michel Denuit
openaire +1 more source
We consider a class of stochastic intensities of mortality that generalizes the model proposed by Lee and Carter (1992), allowing general diffusions to drive the mortality time-trend. We analyze the stability of such class of intensities under measure changes and show how a risk-neutral version of the generalized Lee-Carter model can be employed for ...
Enrico Biffis, Michel Denuit
openaire +1 more source
Inference Pitfalls in Lee–Carter Model for Forecasting Mortality
Insurance: Mathematics and Economics, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liang Peng
exaly +3 more sources
Testing for a Unit Root in Lee–Carter Mortality Model
ASTIN Bulletin, 2017AbstractMotivated by a recent discovery that the two-step inference for the Lee–Carter mortality model may be inconsistent when the mortality index does not follow from a nearly integrated AR(1) process, we propose a test for a unit root in a Lee–Carter model with an AR(p) process for the mortality index.
Liang Peng
exaly +3 more sources
Climate-Related Extensions of the Lee-Carter Model
This study examines the impact of climate risk-related variables on mortality patterns across diverse population groups. An innovative version of the Lee-Carter model is proposed, incorporating a climate risk-related variable - specifically, CO2 emissions - to enhance the accuracy of mortality prediction.Aprea, Imma Lory +4 more
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Improving Lee-Carter Forecasting: Methodology and Some Results
2018The aim of the paper is to improve the Lee-Carter model performance developing a methodology able to refine its predictive accuracy. Considering relevant information the discrepancies between the real data and the Lee-Carter outputs, we model a measure of the fitting errors as a Cox-Ingersoll-Ross process. A new LC model is derived, called mLC.
Giovanna Apicella +3 more
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Structural Changes in the Lee-Carter Mortality Indexes
North American Actuarial Journal, 2011Abstract In recent years mortality has improved considerably faster than had been predicted, resulting in unforeseen mortality losses for annuity and pension liabilities. Actuaries have considered various models to make stochastic mortality projections, one of which is the celebrated Lee-Carter model.
Johnny Siu-Hang Li +2 more
openaire +1 more source
Variability of the Lee–Carter model parameters
International Journal of Forecasting, 2023Wenyun Zuo +2 more
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