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

Recurso electrónico / electronic resource
Registro MARC
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100  ‎$0‎MAPA20110028886‎$a‎Wang, Chou-Wen
24502‎$a‎A Quantitative comparison of the Lee-Carter model under different types of non-Gaussian Innovations‎$c‎Chou-Wen Wang, Hong-Chih Huang, I-Chien Liu
520  ‎$a‎In 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
650 1‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 1‎$0‎MAPA20080592011‎$a‎Modelos actuariales
650 1‎$0‎MAPA20080555306‎$a‎Mortalidad
650 1‎$0‎MAPA20080555016‎$a‎Longevidad
650 1‎$0‎MAPA20080570590‎$a‎Seguro de vida
700  ‎$0‎MAPA20100033678‎$a‎Huang, Hong-Chih
7001 ‎$0‎MAPA20110029364‎$a‎Liu, I - Chien
7730 ‎$w‎MAP20077100215‎$t‎Geneva papers on risk and insurance : issues and practice‎$d‎Geneva : The Geneva Association, 1976-‎$x‎1018-5895‎$g‎03/10/2011 Tomo 36 Número 4 - 2011 , p. 675-696