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A Bühlmann credibility approach to modeling Mortality Rates
Recurso electrónico / Electronic resource
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100  ‎$0‎​MAPA20150010858‎$a‎​Chi-Liang Tsai, Cary ‌
24512‎$a‎​A Bühlmann credibility approach to modeling Mortality Rates‎$c‎​Cary Chi-Liang Tsai, Tzuling Lin
520  ‎$a‎​In this article, we first propose a Bühlmann nonparametric credibility approach to forecasting mortality rates, and we then compare forecasting performances between the proposed Bühlmann approach and the Lee-Carter/Cairns-Blake-Dowd (CBD) models. Empirical results based on mortality data for both genders of Japan, the United Kingdom, and the United States with two age spans, a wide range of fitting year spans, and three forecasting periods show that the credibility approach contributes to much better forecasting performances measured by the mean absolute percentage error. Moreover, we give an informative credibility interpretation regarding the average decrements of an individual time trend for age x and a group time trend for all ages, and we discuss the effects of the slope and intercept of the linear functions for the forecasted mortality rates under the proposed Bühlmann nonparametric credibility approach and the Lee-Carter/CBD models. Finally, we also estimate the parameters of the Bühlmann credibility approach in a semiparametric framework, and we provide a stochastic version of forecasting mortality rates for the Bühlmann credibility approach.
650 4‎$0‎​MAPA20080592011‎$a‎​Modelos actuariales ‌
650 4‎$0‎​MAPA20080579258‎$a‎​Cálculo actuarial ‌
650 4‎$0‎​MAPA20080611613‎$a‎​Modelos probabílisticos ‌
650 4‎$0‎​MAPA20080555306‎$a‎​Mortalidad ‌
7730 ‎$w‎​MAP20077000239‎$t‎​North American actuarial journal‎$d‎​Schaumburg : Society of Actuaries, 1997-‎$x‎​1092-0277‎$g‎​05/06/2017 Tomo 21 Número 2 - 2017 , p. 204-227