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Proposition of a hybrid stochastic Lee-Carter mortality model
Rossa, Agnieszka (Author), Socha, Lesław (Author)

URLURL - Presentation file, Visit http://www.stat-d.si/mz/mz10.1/Rossa2013.pdf This link opens in a new window

Abstract
In the paper, a stochastic hybrid mortality model (EHLC) treated as a solution of stochastic differential equations is introduced. The model is defined analogously to the well-known Lee-Carter mortality model (LC). A parameter estimation procedure including a switching rule are proposed. A comparison of the predictive accuracy of the LC and EHLC models based on the mortality data for Poland has shown that the new model yields better results.

Language:English
Keywords:mortaliteta, demografska statistika
Work type:Not categorized (r6)
Tipology:1.01 - Original Scientific Article
Organization:FDV - Faculty of Social Sciences
Year:2013
Number of pages:str. 1-16
Numbering:Vol. 10, no. 1
UDC:314:519.21
ISSN on article:1854-0023
COBISS.SI-ID:32230749 Link is opened in a new window
Views:374
Downloads:116
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Record is a part of a journal

Title:Metodološki zvezki
Shortened title:Metodol. zv.
Publisher:Fakulteta za družbene vede
ISSN:1854-0023
COBISS.SI-ID:215795712 This link opens in a new window

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