1,721,055 research outputs found
The Stratified Sampling Bootstrap for Measuring the Uncertainty in Mortality Forecasts
No full textIn this paper, we propose a procedure for reducing the uncertainty in mortality
projections, on the basis of a log bilinear Poisson Lee Carter model (Renshaw and
Haberman Appl Stat 52:119–137, 2003a). In the literature, because the non-linear nature of
the quantities under consideration has prevented analytical solutions, simulation techniques
have been used in order to provide prediction intervals for forecasted quantities (for
example, Brouhns et al. Scand Actuar J 3:212–224, 2005, Renshaw and Haberman Insur
Math Econ 42:797–816, 2008). In this respect, we adopt the bootstrap simulation approach
in order to measure the uncertainty affecting mortality projections. In particular, we propose
making the bootstrap procedure more efficient by using a specific variance reducing
technique, the so-called Stratified Sampling technique. To this end, we propose a two stage
simulation bootstrap procedure where variance reducing techniques are combined with the
simple bootstrap of the Poisson Lee Carter version. Numerical applications are shown using
the results for some datasets
Extending the Lee-Carter model: a three-way decomposition
Get PDFIn this paper, we focus on a Multi-dimensional Data Analysis approach to the LeeCarter (LC) model
of mortality trends. In particular, we extend the bilinear LC model and specify a new model based on a
three-way structure, which incorporates a further component in the decomposition of the logmortality
rates. A multi-way component analysis is performed using the Tucker3 model. The suggested
methodology allows us to obtain combined estimates for the three modes: (1) time, (2) age groups and
(3) different populations. From the results obtained by the Tucker3 decomposition, we can jointly
compare, in both a numerical and graphical way, the relationships among all three modes and obtain a
time-series component as a leading indicator of the mortality trend for a group of populations.
Further, we carry out a correlation analysis of the estimated trends in order to assess the reliability of
the results of the three-way decomposition. The model’s goodness of fit is assessed using an analysis of
the residuals. Finally, we discuss how the synthesised mortality index can be used to build concise
projected life tables for a group of populations. An application which compares 10 European countries
is used to illustrate the approach and provide a deeper insight into the model and its implementation
A comparative study of two population models for the assessment of basis risk in longevity hedges
Get PDFLongevity swaps have been one of the major success stories of pension scheme derisking in recent years. However, with some few exceptions, all of the transactions to date have been bespoke longevity swaps based upon the mortality experience of a portfolio of named lives. In order for this market to start to meet its true potential, solutions will ultimately be needed that provide protection for all types of members, are cost effective for large and smaller schemes, are tradable, and enable access to the wider capital markets. Index-based solutions have the potential to meet this need; however concerns remain with these solutions. In particular, the basis risk emerging from the potential mismatch between the underlying forces of mortality for the index reference portfolio and the pension fund/annuity book being hedged is the principal issue that has, to date, prevented many schemes progressing their consideration of index-based solutions. Two-population stochastic mortality models offer an alternative to overcome this obstacle as they allow market participants to compare and project the mortality experience for the reference and target populations and thus assess the amount of demographic basis risk involved in an index-based longevity hedge. In this paper, we systematically assess the suitability of several multi-population stochastic mortality models for assessing basis risks and provide guidelines on how to use these models in practical situations paying particular attention to the data requirements for the appropriate calibration and forecasting of such models
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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