1,721,231 research outputs found
Efficient Bootstrap applied to the Poisson Log-Bilinear Lee Carter Model
No full textIn this paper, we propose a procedure for reducing the uncertainty about mortality projections,
on the basis of a log bilinear Poisson Lee Carter model (Renshaw and Haberman 2003). In the literature,
to provide confidence intervals for forecasted quantities, simulation techniques have been used, because
of the non-linear nature of the quantities under consideration (i.e. Brouhns, N., Denuit, M., van Keilegom,
I. 2005, Renshaw, A.E., Haberman, S. 2008). In that respect, we take into account the bootstrap simulation
approach to measure the uncertainty affecting the mortality projections. In particular, we intend to
make efficient the bootstrap procedure by using a specific variance reducing technique, the so-called
stratified sampling. The results will be shown in the numerical applications
Efficient Bootstrap applied to the Poisson Log-Bilinear Lee Carter Model
No full textIn this paper, we propose a procedure for reducing the uncertainty about mortality projections,
on the basis of a log bilinear Poisson Lee Carter model (Renshaw and Haberman 2003). In the literature,
to provide confidence intervals for forecasted quantities, simulation techniques have been used, because
of the non-linear nature of the quantities under consideration (i.e. Brouhns, N., Denuit, M., van Keilegom,
I. 2005, Renshaw, A.E., Haberman, S. 2008). In that respect, we take into account the bootstrap simulation
approach to measure the uncertainty affecting the mortality projections. In particular, we intend to
make efficient the bootstrap procedure by using a specific variance reducing technique, the so-called
stratified sampling. The results will be shown in the numerical applications
The valuation of Guaranteed Lifelong Withdrawal Benefit Options in variable annuity contracts and the impact of mortality risk
No full text
Lee-Carter mortality forecasting: application to the Italian population
No full textIn this paper we investigate the feasibility of using the Lee-Carter methodology to construct mortality forecasts for the Italian population. We fit the model to the matrix of Italian death rates for each gender from 1950 to 2000. A time-varying index of mortality is forecasted in an ARIMA framework and is used to generate projected life tables. In particular we focus on life expectancies at birth and, for the purpose of comparison, we
introduce an alternative approach for forecasting life expectancies on a period basis.
The resulting forecasts generated by the two methods are then compared
Mortality Risk and the Valuation of Annuities with Guaranteed Minimum Death Benefit Option: Application to the Italian Population
No full textMethodological and Operating Questions of the Three Way Lee-Carter Model
No full textThe three-way model has been proposed as a development of the original Lee-
Carter (LC) model when a three-mode data structure is available. The three-way LC
model allows enriching the basic LC model by introducing several tools of exploratory
data analysis.
Such exploratory tools allow giving a new perspective to the demographic analysis
supporting the analytical results with a geometrical interpretation and a graphical
representation.
From a methodological point of view, there are several issues to deal with when focusing
on such kind of data. Specially, in presence of the three-way data structure, several
choices on data pre-treatment could affect the whole data modelling.
The first step of a three-way mortality data investigation consists in exploring the
different source of variations and highlighting the significant ones.
We will consider the three-way LC model investigated through a three-way analysis of
variance with fixed effects, where each cell is given by the mortality rate in a given year
of a specific age-group for a country.
Firstly, we consider the variability attached to each of the three ways main effects: age,
years and countries. Then, we consider the variability induced by the interactions
between each pair of the three ways. Finally, the three-way interaction could give
information on which country have a specific trend (along years) in each age-group.
This kind of analysis is useful to assess the source of variation in the raw mortality data,
before to extract rank-one components by the LC-model
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