Proposition of a hybrid stochastic Lee-Carter mortality model

Rossa, Agnieszka (avtor), Socha, Lesław (avtor)

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.

• Jezik: Angleški jezik
• Ključne besede: mortaliteta, demografska statistika
• Vrsta gradiva: Delo ni kategorizirano
• Tipologija: 1.01 - Izvirni znanstveni članek
• Organizacija: FDV - Fakulteta za družbene vede
• Leto izida: 2013
• Št. strani: Str. 1-16
• Številčenje: Vol. 10, no. 1
• PID: 20.500.12556/RUL-76434
• UDK: 314:519.21
• ISSN pri članku: 1854-0023
• COBISS.SI-ID: 32230749
• Datum objave v RUL: 21.12.2015

Gradivo je del revije

• Naslov: Metodološki zvezki
• Skrajšan naslov: Metodol. zv.
• Založnik: Fakulteta za družbene vede
• ISSN: 1854-0023
• COBISS.SI-ID: 215795712