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Multivariate long-memory cohort mortality models

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20200009962
003  MAP
005  20200326142032.0
008  200326e20200101bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20200006589‎$a‎Yan, Hongxuan
24510‎$a‎Multivariate long-memory cohort mortality models‎$c‎Hongxuan Yan, Gareth W. Peters, Jennifer S.K. Chan
520  ‎$a‎The existence of long memory in mortality data improves the understandings of features of mortality data and provides a new approach for establishing mortality models. The findings of long-memory phenomena in mortality data motivate us to develop new mortality models by extending the Lee-Carter (LC) model to death counts and incorporating long-memory model structure. Furthermore, there are no identification issues arising in the proposed model class. Hence, the constraints which cause many computational issues in LC models are removed. The models are applied to analyse mortality death count data sets from three different countries divided according to genders. Bayesian inference with various selection criteria is applied to perform the model parameter estimation and mortality rate forecasting. Results show that multivariate long-memory mortality model with long-memory cohort effect model outperforms multivariate extended LC cohort model in both in-sample fitting and out-sample forecast. Increasing the accuracy of forecasting of mortality rates and improving the projection of life expectancy is an important consideration for insurance companies and governments since misleading predictions may result in insufficient funds for retirement and pension plans.
650 4‎$0‎MAPA20100065273‎$a‎Modelo Lee-Carter
650 4‎$0‎MAPA20080592011‎$a‎Modelos actuariales
650 4‎$0‎MAPA20080592042‎$a‎Modelos matemáticos
650 4‎$0‎MAPA20080606688‎$a‎Inferencia estadística
650 4‎$0‎MAPA20080555306‎$a‎Mortalidad
700  ‎$0‎MAPA20100048535‎$a‎Peters, Gareth W.
700  ‎$0‎MAPA20110013431‎$a‎Chan, Jennifer S.K.
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/01/2020 Volumen 50 Número 1 - enero 2020 , p. 223-263