相关论文: Utilisation des m\'ethodes de Lee-Carter et Log-Po…

The aim of this paper is to propose a realistic and operational model to quantify the systematic risk of mortality included in an engagement of retirement. The model presented is built on the basis of model of Lee-Carter. The stochastic…

The aim of this paper is to propose a realistic and operational model to quantify the systematic risk of mortality included in an engagement of retirement. The model presented is built on the basis of model of Lee-Carter. The stochastic…

The EU Solvency II directive recommends insurance companies to pay more attention to the risk management methods. The sense of risk management is the ability to quantify risk and apply methods that reduce uncertainty. In life insurance, the…

Mortality forecasting methods in the Lee-Carter tradition extrapolate temporal components via time-series models, often producing forecasts that systematically underpredict life expectancy at long horizons. This bias is consequential for…

A new stochastic method for describing mortality is proposed and explored. It is based on differences of observed times series of the transform $\log(-\log x)$ of survival probabilities which seem to follow simple patterns over the years.…

The improvement of mortality projection is a pivotal topic in the diverse branches related to insurance, demography, and public policy. Motivated by the thread of Lee-Carter related models, we propose a Bayesian model to estimate and…

Separate modelling of cause specific mortality rates and their projections can yield inconsistent forecasts when the sum of deaths by cause does not match the total observed in a population. We develop a hierarchical probabilistic framework…

We propose a probabilistic mortality forecasting model that can be applied to derive forecasts for populations with regular and irregular mortality developments. Our model (1) uses rates of mortality improvement to model dynamic age…

We provide forecasts for mortality rates by using two different approaches. First we employ dynamic non-linear logistic models based on Heligman-Pollard formula. Second, we assume that the dynamics of the mortality rates can be modelled…

Undoubtedly, several countries worldwide endure to experience a continuous increase in life expectancy, extending the challenges of life actuaries and demographers in forecasting mortality. Although several stochastic mortality models have…

In many countries life expectancy gains have been substantially higher than predicted by even recent forecasts. This is primarily due to increasing rates of improvement in old-age mortality not captured by existing models. In this paper we…

In this article, we have modeled mortality rates of Peruvian female and male populations during the period of 1950-2017 using the Lee-Carter (LC) model. The stochastic mortality model was introduced by Lee and Carter (1992) and has been…

In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality…

The missing data problem pervasively exists in statistical applications. Even as simple as the count data in mortality projections, it may not be available for certain age-and-year groups due to the budget limitations or difficulties in…

Looking for associations among multiple variables is a topical issue in statistics due to the increasing amount of data encountered in biology, medicine and many other domains involving statistical applications. Graphical models have…

The focus of the present paper is to forecast mortality rates for small sub-populations that are parts of a larger super-population. In this setting the assumption is that it is possible to produce reliable forecasts for the…

This paper introduces a neural network approach for fitting the Lee-Carter and the Poisson Lee-Carter model on multiple populations. We develop some neural networks that replicate the structure of the individual LC models and allow their…

Age-specific life-table death counts observed over time are examples of densities. Non-negativity and summability are constraints that sometimes require modifications of standard linear statistical methods. The centered log-ratio…

This study presents a framework for high-resolution mortality simulations tailored to insured and general populations. Due to the scarcity of detailed demographic-specific mortality data, we leverage Iterative Proportional Fitting (IPF) and…

Widespread population aging has made it critical to understand death rates at old ages. However, studying mortality at old ages is challenging because the data are sparse: numbers of survivors and deaths get smaller and smaller with age. We…