Centro de Documentacion de Fundación MAPFRE - Bias-corrected inference for a modified Lee-Carter mortality model

MAP20190019460

Bias-corrected inference for a modified Lee-Carter mortality model / Qing Liu... [et al.]

24 p.

Sumario: As a benchmark mortality model in forecasting future mortality rates and hedging longevity risk, the widely employed LeeCarter model (Lee, R.D. and Carter, L.R. (1992) Modeling and forecasting U.S. mortality. Journal of the American Statistical Association, 87, 659671.) suffers from a restrictive constraint on the unobserved mortality index for ensuring model's identification and a possible inconsistent inference. Recently, a modified LeeCarter model (Liu, Q., Ling, C. and Peng, L. (2018) Statistical inference for LeeCarter mortality model and corresponding forecasts. North American Actuarial Journal, to appear.) removes this constraint and a simple least squares estimation is consistent with a normal limit when the mortality index follows from a unit root or near unit root AR(1) model with a nonzero intercept. This paper proposes a bias-corrected estimator for this modified LeeCarter model, which is consistent and has a normal limit regardless of the mortality index being a stationary or near unit root or unit root AR(1) process with a nonzero intercept. Applications to the US mortality rates and a simulation study are provided as well

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/05/2019 Volumen 49 Número 2 - mayo 2019 , p. 433-455

1. Modelo Lee-Carter . 2. Esperanza de vida . 3. Matemática del seguro . I. Liu, Qing .