Inference for the Lee-Carter Model With An AR(2) Process

被引：2

作者：

Li, Deyuan ^{[1
]}

Ling, Chen ^{[2
]}

Liu, Qing ^{[3
,4
]}

Peng, Liang ^{[2
]}

机构：

[1] Fudan Univ, Sch Management, Shanghai 200433, Peoples R China

[2] Georgia State Univ, Dept Risk Management & Insurance, Atlanta, GA 30303 USA

[3] Jiangxi Univ Finance & Econ, Sch Stat, Nanchang 330013, Jiangxi, Peoples R China

[4] Jiangxi Univ Finance & Econ, Res Ctr Appl Stat, Nanchang 330013, Jiangxi, Peoples R China

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2022年 / 24卷 / 02期

关键词：

AR(2) model; Lee-Carter model; Mortality rates; Unit root; MEASUREMENT ERROR; MORTALITY;

D O I：

10.1007/s11009-021-09898-y

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Researchers in studying longevity risk often employ the Lee-Carter model with a unit root AR(1) process for unobserved mortality indexes. When one models the mortality index by a stationary AR(1) process, the widely used two-step inference in Lee and Carter (1992) is inconsistent. Some mortality datasets reject the unit root hypothesis. This paper develops consistent statistical inferences for a modified Lee-Carter model using an AR(2) process to model unobserved mortality indexes. It also provides a simulation study to examine their finite sample performance before applying them to the US mortality rates.

引用

页码：991 / 1019

页数：29

共 50 条

[21] The Parameter Estimation of Lee-Carter Model with Missing Data
Wu Xiaokun
PROCEEDINGS OF 2016 CHINA INTERNATIONAL CONFERENCE ON INSURANCE AND RISK MANAGEMENT, 2016, : 736 - 744
[22] Testing the Lee-Carter model on Hungarian mortality data
Petnehazi, Gabor
Gall, Jozsef
ACTA OECONOMICA, 2023, 73 (01) : 171 - 182
[23] Longevity Risk Forecasting : The Fitting Accuracy Analysis of the Lee-Carter Model
Shang Qin
Zheng Xiangyi
PROCEEDINGS OF THE 7TH (2015) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, 2015, : 213 - 218
[24] The GLM framework of the Lee-Carter model: a multi-country study
Azman, Shafiqah
Pathmanathan, Dharini
JOURNAL OF APPLIED STATISTICS, 2022, 49 (03) : 752 - 763
[25] Lee-Carter models: The wider context
Hyndman, Rob J.
INTERNATIONAL JOURNAL OF FORECASTING, 2023, 39 (03) : 1053 - 1054
[26] Smoothing the Lee-Carter Model Mortality by Minimum Cross Entropy
Wu Xiaokun
Wang Xiaojun
Zhang Xuebin
PROCEEDINGS OF 2014 CHINA INTERNATIONAL CONFERENCE ON INSURANCE AND RISK MANAGEMENT, 2015, : 601 - 608
[27] THE MORTALITY OF THE ITALIAN POPULATION: SMOOTHING TECHNIQUES ON THE LEE-CARTER MODEL
D'Amato, Valeria
Piscopo, Gabriella
Russolillo, Maria
ANNALS OF APPLIED STATISTICS, 2011, 5 (2A) : 705 - 724
[28] A modified Lee-Carter model based on the projection of the skewness of the mortality
Lee, Hangsuck
Baek, Changryong
Kim, Jihyeon
KOREAN JOURNAL OF APPLIED STATISTICS, 2016, 29 (01) : 41 - 59
[29] Forecasting Indonesian Mortality Rates Using the Lee-Carter Model and ANFIS Method
Manulang, J. M.
Lestari, D.
Mardiyati, S.
PROCEEDINGS OF THE 3RD INTERNATIONAL SYMPOSIUM ON CURRENT PROGRESS IN MATHEMATICS AND SCIENCES 2017 (ISCPMS2017), 2018, 2023
[30] A modified Lee-Carter model for analysing short-base-period data
Zhao, Bojuan Barbara
POPULATION STUDIES-A JOURNAL OF DEMOGRAPHY, 2012, 66 (01): : 39 - 52

← 1 2 3 4 5 →