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Proposition of a hybrid stochastic Lee-Carter mortality model
ID
Rossa, Agnieszka
(
Author
),
ID
Socha, Lesław
(
Author
)
URL - Presentation file, Visit
http://www.stat-d.si/mz/mz10.1/Rossa2013.pdf
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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
Typology:
1.01 - Original Scientific Article
Organization:
FDV - Faculty of Social Sciences
Year:
2013
Number of pages:
Str. 1-16
Numbering:
Vol. 10, no. 1
PID:
20.500.12556/RUL-76434
UDC:
314:519.21
ISSN on article:
1854-0023
COBISS.SI-ID:
32230749
Publication date in RUL:
21.12.2015
Views:
1243
Downloads:
175
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Title:
Metodološki zvezki
Shortened title:
Metodol. zv.
Publisher:
Fakulteta za družbene vede
ISSN:
1854-0023
COBISS.SI-ID:
215795712
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