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On the Structural Change of the Lee-Carter Model and Its Actuarial Application
On the Structural Change of the Lee-Carter Model and Its Actuarial Application
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2019.1
- 수록면
- 305 - 318 (14page)
이용수
On the Structural Change of the Lee-Carter Model and Its Actuarial Application
초록· 키워드
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Over the past decades, the Lee-Carter model [1] has attracted much attention from various demography-related fields in order to project the future mortality rates. In the Lee-Carter model, the speed of mortality improvement is stochastically modeled by the so-called mortality index and is used to forecast the future mortality rates based on the time series analysis. However, the modeling is applied to long time series and thus an important structural change might exist, leading to potentially large long-term forecasting errors. Therefore, in this paper, we are interested in detecting the structural change of the Lee-Carter model and investigating the actuarial implications. For the purpose, we employ the tests proposed by Coelho and Nunes [2] and analyze the mortality data for six countries including Korea since 1970. Also, we calculate life expectancies and whole life insurance premiums by taking into account the structural change found in the Korean male mortality rates. Our empirical result shows that more caution needs to be paid to the Lee-Carter modeling and its actuarial applications.
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등록된 정보가 없습니다.
참고문헌 (11)
참고문헌 신청
Lee, R / 1992 / Modelling and forecasting U.S. mortality / J. Am. Statist. Ass 87:659~679
Coelho, E / 2011 / Forecasting mortality in the event of a structural change / J. R. Statist. Soc. A 174:713~736
Booth, H. / 2002 / Applying Lee-Carter under conditions of vari-able mortality decline / Population Studies 56:325~336
Renshaw, A. / 2003 / Lee-Carter mortality forecasting: a parallel generalized linear modeling approach for England and Wales mortality projections / J. R. Statist. Soc. C 52:119~137
Booth, H / 2006 / Lee-Carter mortality forecasting; a multi-country comparison of variants and extensions / Demographic Research 15:289~310
Coelho, E / 2011 / Forecasting mortality in the event of a structural change / J. R. Statist. Soc. A 174:713~736
Booth, H. / 2002 / Applying Lee-Carter under conditions of vari-able mortality decline / Population Studies 56:325~336
Renshaw, A. / 2003 / Lee-Carter mortality forecasting: a parallel generalized linear modeling approach for England and Wales mortality projections / J. R. Statist. Soc. C 52:119~137
Booth, H / 2006 / Lee-Carter mortality forecasting; a multi-country comparison of variants and extensions / Demographic Research 15:289~310
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