Results 221 to 230 of about 15,650 (252)

Multidimensional Lee–Carter model with switching mortality processes

Insurance: Mathematics and Economics, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Donatien Hainaut
exaly   +3 more sources

Mortality, longevity and experiments with the Lee–Carter model

Lifetime Data Analysis, 2008
The paper reviews the Lee-Carter modelling framework, illustrated with an application, and then extends the framework through the development of a wider class of generalised, parametric, non-linear models. The choice of error distribution is also generalised. These extensions permit the modelling and extrapolation of age-specific cohort effects as well
Haberman, Steven, Renshaw, Arthur
openaire   +3 more sources

Selection effect modification to the Lee-Carter model

European Actuarial Journal, 2022
Although other risk factors can be used, depending on feasibility, marketing, and data availability, age and gender are the two most common risk factors considered in life insurance products. Previous studies have shown that the newly insured, who passed certain health examinations, tend to have lower mortality rates than those already insured ...
Jack C. Yue, Chao-Ting Lin, Yu-Lin Yang, Yi-Chun Chen, Wan-Chen Tsai, Yin-Yee Leong   +5 more
openaire   +2 more sources

TESTING FOR A UNIT ROOT IN LEE–CARTER MORTALITY MODEL

ASTIN Bulletin, 2017
AbstractMotivated 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.
Leng, Xuan, Peng, Liang
openaire   +2 more sources

Parameter estimation and forecasts for an integrated Lee-Carter model

SUT Journal of Mathematics, 2023
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kanazawa, Reo, Kurosawa, Takeshi
openaire   +1 more source

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, Perla, Francesca, Petrella, Raffaele Clemente, Pietroluongo, Mariafortuna, Scognamiglio, Salvatore   +4 more
openaire   +2 more sources

Mortality modeling [PDF]

, 2009
Using data for six OECD countries, this paper studies the effect of macroeconomic conditions on the mortality index kt in the well-known Lee-Carter model. Significant correlations are found with real GDP growth rates in Australia, Canada, and the United States, and with unemployment rate changes in Japan, for the period 1950–2005.
openaire   +1 more source

The Lee-Carter Model for Forecasting Mortality, Revisited

North American Actuarial Journal, 2007
Abstract Interrupting phenomena are commonly encountered in time-series data analysis with the study of mortality trends being no exception. Nevertheless, previous demographic forecasts have paid little attention to the existence of such phenomena. In this study we use mortality data from Canada and the United States to perform time-series outlier ...
Siu-Hang Li, Wai-Sum Chan
openaire   +1 more source

BIAS-CORRECTED INFERENCE FOR A MODIFIED LEE–CARTER MORTALITY MODEL

ASTIN Bulletin, 2019
AbstractAs a benchmark mortality model in forecasting future mortality rates and hedging longevity risk, the widely employed Lee–Carter model (Lee, R.D. and Carter, L.R. (1992) Modeling and forecasting U.S. mortality. Journal of the American Statistical Association, 87, 659–671.) suffers from a restrictive constraint on the unobserved mortality index ...
Liu, Qing, Ling, Chen, Li, Deyuan, Peng, Liang   +3 more
openaire   +2 more sources

A Neural Network Extension of the Lee-Carter Model to Multiple Populations

SSRN Electronic Journal, 2018
AbstractThe Lee–Carter (LC) model is a basic approach to forecasting mortality rates of a single population. Although extensions of the LC model to forecasting rates for multiple populations have recently been proposed, the structure of these extended models is hard to justify and the models are often difficult to calibrate, relying on customised ...
Ronald Richman, Mario V. Wüthrich
openaire   +1 more source