Proposition of a hybrid stochastic Lee-Carter mortality model

Rossa, Agnieszka (author), Socha, Lesław (author)

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

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