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Testing for a unit root in Lee-Carter mortality model
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Tag12Valor
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008  170920e20170829bel|||p |0|||b|eng d
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084  ‎$a‎​345
100  ‎$0‎​MAPA20170011958‎$a‎​Leng, Xuan ‌
24510‎$a‎​Testing for a unit root in Lee-Carter mortality model‎$c‎​Xuan Leng, Liang Peng
300  ‎$a‎​21 p.
520  ‎$a‎​Motivated by a recent discovery that the two-step inference for the LeeCarter 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 LeeCartermodelwith an AR(p) process for themortality index. Although testing for a unit root has been studied extensively in econometrics, the method and asymptotic results developed in this paper are unconventional. Unlike a blind application of existing R packages for implementing the two-step inference procedure in Lee and Carter (1992) to the U.S. mortality rate data, the proposed test rejects the null hypothesis that the mortality index follows from a unit root AR(1) process, which calls for serious attention on using the future mortality projections based on the LeeCarter model in policy making, pricing annuities and hedging longevity risk. A simulation study is conducted to examine the finite sample behavior of the proposed test too.
650 4‎$0‎​MAPA20080555306‎$a‎​Mortalidad ‌
650 4‎$0‎​MAPA20080555016‎$a‎​Longevidad ‌
650 4‎$0‎​MAPA20080544249‎$a‎​Índices ‌
650 4‎$0‎​MAPA20080592011‎$a‎​Modelos actuariales ‌
650 4‎$0‎​MAPA20080586454‎$a‎​Modelos analíticos ‌
700  ‎$0‎​MAPA20080653569‎$a‎​Peng, Liang ‌
7730 ‎$w‎​MAP20077000420‎$t‎​Astin bulletin‎$d‎​Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎​0515-0361‎$g‎​01/09/2017 Volumen 47 Número 3 - septiembre 2017 , p. 715-735