A Quantitative comparison of the Lee-Carter model under different types of non-Gaussian Innovations

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<dc:creator>Wang, Chou-Wen</dc:creator>
<dc:creator>Huang, Hong-Chih</dc:creator>
<dc:creator>Liu, I - Chien</dc:creator>
<dc:date>2011-10-03</dc:date>
<dc:description xml:lang="es">Sumario: In the classical Lee-Carter model, the mortality indices that are assumed to be a random walk model with drift are normally distributed. However, for the long-term mortality data, the error terms of the Lee-Carter model and the mortality indices have tails thicker than those of a normal distribution and appear to be skewed. This study therefore adopts five non-Gaussian distributions Students t-distribution and its skew extension (i.e., generalised hyperbolic skew Students t-distribution), one finite-activity Lévy model (jump diffusion distribution), and two infinite-activity or pure jump models (variance gamma and normal inverse Gaussian) to model the error terms of the Lee-Carter model. With mortality data from six countries over the period 1900-2007, both in-sample model selection criteria (e.g., Bayesian information criterion, Kolmogorov Smirnov test, Anderson Darling test, Cramérvon-Mises test) and out-of-sample projection errors indicate a preference for modelling the Lee-Carter model with non-Gaussian innovations</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/134647.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Modelos actuariales</dc:subject>
<dc:subject xml:lang="es">Mortalidad</dc:subject>
<dc:subject xml:lang="es">Longevidad</dc:subject>
<dc:subject xml:lang="es">Seguro de vida</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">A Quantitative comparison of the Lee-Carter model under different types of non-Gaussian Innovations</dc:title>
<dc:relation xml:lang="es">En: Geneva papers on risk and insurance : issues and practice. - Geneva : The Geneva Association, 1976- = ISSN 1018-5895. - 03/10/2011 Tomo 36 Número 4  - 2011 , p. 675-696</dc:relation>
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