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Estimating the term structure of mortality: an application to actuarial studies | ||
| Journal of Mathematics and Modeling in Finance | ||
| دوره 1، شماره 2، اسفند 2021، صفحه 13-22 اصل مقاله (295.96 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2021.13837 | ||
| نویسندگان | ||
| Marzieh Vahdani* 1؛ Ali Safdari2 | ||
| 1Eco college of Insurance, Allameh Tabataba’i University, Tehran, Iran | ||
| 2Department of the mathematics, Allameh Tabataba’i University, Tehran, Iran | ||
| چکیده | ||
| Insurance companies and pension funds which deal with human lifetime are interested in mortality forecasting to minimize the longevity risk. In this paper, we studied the mortality forecasting model based on the age-specific death rates by the usage of the state-space framework and Kalman filtering technique. To capture the volatility of time, the time varying trend has been added to the Lee-Carter (LC) model, which is the benchmark methodology in modeling and forecasting mortality since it was introduced in 1992. So, this model is a random walk with time varying drift (TV). We illustrated the performance of the proposed model using Iranian mortality data over the period 1950–2015. Numerical results show that, both models have good fitness and are tangent. So the TV model acts as well as the LC model, but the TV model has the advantages of fewer calculations and the time-varying drift which can be beneficial in time varying data sets. | ||
| کلیدواژهها | ||
| Mortality forecasting؛ Lee-Carter approach؛ State-space modeling؛ Kalman recursions | ||
| مراجع | ||
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[1] B.D. Lee, and R.L. Carter, Modeling and forecasting U.S. mortality, Journal of the American Statistical Association, 87 (1992), pp. 659- 671 [2] F. Girosi, and G. King, Understanding the Lee-Carter Mortality Forecasting Method, Working Paper, (2007), Harvard University. [3] P.D. Jong, and L., Tickle, Extending the Lee-Carter methodology of mortality projection, PdD thesis, (2004), Department of Actuarial Studies, Macquarie University. [4] N. H'ari, A.D. Waegenaere, B. Melenberg and T.E. Nijman, Estimating the term structure of mortality, Insurance: Mathematics and Economics, 42(2008), pp. 492504 [5] P.E. Caines, Linear stochastic systems, John Wiley Sons, Inc., 1988. [6] N.L. Bowers, Actuarial mathematics, (1997), Society of Actuaries (SOA). [7] D.C. Dickson, M.R. Hardy and H.R. Waters, Actuarial mathematics for life contingent risks, (2009), New York: Cambridge University Press. [8] P.J. Brockwell and R.A. Davis, Introduction to time series and forecasting, (2002), Springer. | ||
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