Testing for a unit root in Lee-Carter mortality model

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<rdf:Description>
<dc:creator>Leng, Xuan</dc:creator>
<dc:creator>Peng, Liang</dc:creator>
<dc:date>2017-08-29</dc:date>
<dc:description xml:lang="es">Sumario: 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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/161824.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Mortalidad</dc:subject>
<dc:subject xml:lang="es">Longevidad</dc:subject>
<dc:subject xml:lang="es">Índices</dc:subject>
<dc:subject xml:lang="es">Modelos actuariales</dc:subject>
<dc:subject xml:lang="es">Modelos analíticos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Testing for a unit root in Lee-Carter mortality model</dc:title>
<dc:format xml:lang="es">21 p.</dc:format>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/09/2017 Volumen 47 Número 3 - septiembre 2017 , p. 715-735</dc:relation>
</rdf:Description>
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