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Testing for a unit root in Lee-Carter mortality model

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<title>Testing for a unit root in Lee-Carter mortality model</title>
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<genre authority="marcgt">periodical</genre>
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<placeTerm type="code" authority="marccountry">bel</placeTerm>
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<dateIssued encoding="marc">2017</dateIssued>
<issuance>serial</issuance>
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<languageTerm type="code" authority="iso639-2b">eng</languageTerm>
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<extent>21 p.</extent>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Xuan Leng, Liang Peng</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555306">
<topic>Mortalidad</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555016">
<topic>Longevidad</topic>
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<topic>Índices</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080592011">
<topic>Modelos actuariales</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080586454">
<topic>Modelos analíticos</topic>
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<titleInfo>
<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
<part>
<text>01/09/2017 Volumen 47 Número 3 - septiembre 2017 , p. 715-735</text>
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<recordIdentifier source="MAP">MAP20170030454</recordIdentifier>
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