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Bühlmann credibility-based approaches to modeling mortality rates for multiple population

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20200018131
003  MAP
005  20200602122602.0
008  200528e20200601usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20200012634‎$a‎Chi-Liang Tsai, Cary
24510‎$a‎Bühlmann credibility-based approaches to modeling mortality rates for multiple population‎$c‎Cary Chi-Liang Tsai, Adelaide Di Wu
520  ‎$a‎Inspired by the ideas of the joint-k, the co-integrated, the common factor, and the augmented common factor Lee-Carter models, in this article, we propose four corresponding Bühlmann credibility-based mortality models for multiple populations. Our models and the four Lee-Carter models are fitted with mortality data from the Human Mortality Database for both genders of the United States, the United Kingdom, and Japan to forecast mortality rates for three forecasting periods. Based on the measure of AMAPE (average of mean absolute percentage error), numerical illustrations show that our Bühlmann credibility-based models contribute to more accurate forecasts than the Lee-Carter-based models in all three forecasting periods. Finally, we also propose a stochastic version of the multi-population Bühlmann credibility-based mortality models, which can be used to construct predictive intervals on the projected mortality rates and to conduct stochastic simulations for applications.
650 4‎$0‎MAPA20080555306‎$a‎Mortalidad
650 4‎$0‎MAPA20100065273‎$a‎Modelo Lee-Carter
650 4‎$0‎MAPA20080599300‎$a‎Tablas de mortalidad
650 4‎$0‎MAPA20080586447‎$a‎Modelo estocástico
650 4‎$0‎MAPA20080602642‎$a‎Modelos de simulación
651 1‎$0‎MAPA20080638337‎$a‎Estados Unidos
651 1‎$0‎MAPA20080638290‎$a‎Reino Unido
651 1‎$0‎MAPA20080650919‎$a‎Japón
7001 ‎$0‎MAPA20200012696‎$a‎Wu, Adelaide Di
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎01/06/2020 Tomo 24 Número 2 - 2020 , p. 290-315