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Relevant bibliographies by topics / Lee-carter models

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Academic literature on the topic 'Lee-carter models'

Author: Grafiati

Published: 4 June 2021

Last updated: 12 February 2022

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Journal articles on the topic "Lee-carter models"

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Baran, S., J. Gáll, M. Ispány, and G. Pap. "Forecasting Hungarian mortality rates using the Lee-Carter method." Acta Oeconomica 57, no. 1 (2007): 21–34. http://dx.doi.org/10.1556/aoecon.57.2007.1.3.

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A modified version of the popular Lee-Carter method (Lee-Carter 1992) is applied to forecast mortality rates in Hungary for the period 2004–2040 on the basis of mortality data between 1949 and 2003 both for men and women. Another case is also considered based on a restricted data set corresponding to the period 1989–2003. The model fitted to the data of the period 1949–2003 forecasts increasing mortality rates for men between ages 45 and 55, pointing out that the Lee-Carter method is hardly applicable for countries where mortality rates exhibit trends as peculiar as in Hungary. However, models

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Hall, M., and N. Friel. "Mortality Projections using Generalized Additive Models with applications to annuity values for the Irish population." Annals of Actuarial Science 5, no. 1 (2010): 19–32. http://dx.doi.org/10.1017/s1748499510000011.

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AbstractGeneralized Additive Models (GAMs) with age, period and cohort as possible covariates are used to predict future mortality improvements for the Irish population. The GAMs considered are the 1-dimensional age + period and age + cohort models and the 2-dimensional age-period and age-cohort models. In each case thin plate regression splines are used as the smoothing functions. The generalized additive models are compared with the P-Spline (Currie et al., 2004) and Lee-Carter (Lee & Carter, 1992) models included in version 1.0 of the Continuous Mortality Investigation (CMI) library of

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Alijean, Marie Angèle Cathleen, and Jason Narsoo. "Evaluation of the Kou-Modified Lee-Carter Model in Mortality Forecasting: Evidence from French Male Mortality Data." Risks 6, no. 4 (2018): 123. http://dx.doi.org/10.3390/risks6040123.

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Mortality forecasting has always been a target of study by academics and practitioners. Since the introduction and rising significance of securitization of risk in mortality and longevity, more in-depth studies regarding mortality have been carried out to enable the fair pricing of such derivatives. In this article, a comparative analysis is performed on the mortality forecasting accuracy of four mortality models. The methodology employs the Age-Period-Cohort model, the Cairns-Blake-Dowd model, the classical Lee-Carter model and the Kou-Modified Lee-Carter model. The Kou-Modified Lee-Carter mo

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Nigri, Andrea, Susanna Levantesi, Mario Marino, Salvatore Scognamiglio, and Francesca Perla. "A Deep Learning Integrated Lee–Carter Model." Risks 7, no. 1 (2019): 33. http://dx.doi.org/10.3390/risks7010033.

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In the field of mortality, the Lee–Carter based approach can be considered the milestone to forecast mortality rates among stochastic models. We could define a “Lee–Carter model family” that embraces all developments of this model, including its first formulation (1992) that remains the benchmark for comparing the performance of future models. In the Lee–Carter model, the κ t parameter, describing the mortality trend over time, plays an important role about the future mortality behavior. The traditional ARIMA process usually used to model κ t shows evident limitations to describe the future mo

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Richards, S. J., and I. D. Currie. "Longevity Risk and Annuity Pricing with the Lee-Carter Model." British Actuarial Journal 15, no. 2 (2009): 317–43. http://dx.doi.org/10.1017/s1357321700005675.

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ABSTRACTSeveral important classes of liability are sensitive to the direction of future mortality trends, and this paper presents some recent developments in fitting smooth models to historical mortality-experience data. We demonstrate the impact these models have on mortality projections, and the resulting impact which these projections have on financial products. We base our work round the Lee-Carter family of models. We find that each model fit, while using the same data and staying within the Lee-Carter family, can change the direction of the mortality projections. The main focus of the pa

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Díaz-Rojo, Gisou, Ana Debón, and Jaime Mosquera. "Multivariate Control Chart and Lee–Carter Models to Study Mortality Changes." Mathematics 8, no. 11 (2020): 2093. http://dx.doi.org/10.3390/math8112093.

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The mortality structure of a population usually reflects the economic and social development of the country. The purpose of this study was to identify moments in time and age intervals at which the observed probability of death is substantially different from the pattern of mortality for a studied period. Therefore, a mortality model was fitted to decompose the historical pattern of mortality. The model residuals were monitored by the T2 multivariate control chart to detect substantial changes in mortality that were not identified by the model. The abridged life tables for Colombia in the peri

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Danesi, Ivan Luciano, Steven Haberman, and Pietro Millossovich. "Forecasting mortality in subpopulations using Lee–Carter type models: A comparison." Insurance: Mathematics and Economics 62 (May 2015): 151–61. http://dx.doi.org/10.1016/j.insmatheco.2015.03.010.

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Cesare, Mariachiara Di, and Mike Murphy. "Forecasting Mortality, Different Approaches for Different Cause of Deaths? The Cases of Lung Cancer; Influenza, Pneumonia, and Bronchitis; and Motor Vehicle Accidents." British Actuarial Journal 15, S1 (2009): 185–211. http://dx.doi.org/10.1017/s1357321700005560.

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ABSTRACTMost of the methods of mortality forecasting have been assessed using performance on overall mortality, and few studies address the issue of identifying the appropriate forecasting models for specific causes of deaths. This study analyses trends and forecasts mortality rates for three major causes of death — lung cancer, influenza-pneumonia-bronchitis, and motor vehicle accidents — using Lee–Carter, Booth–Maindonald–Smith, Age-Period-Cohort, and Bayesian models, to assess how far different causes of death need different forecasting methods. Using data from the Twentieth and Twenty-Firs

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Delwarde, Antoine, Michel Denuit, and Paul Eilers. "Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting." Statistical Modelling: An International Journal 7, no. 1 (2007): 29–48. http://dx.doi.org/10.1177/1471082x0600700103.

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Gylys, Rokas, and Jonas Šiaulys. "Estimation of Uncertainty in Mortality Projections Using State-Space Lee-Carter Model." Mathematics 8, no. 7 (2020): 1053. http://dx.doi.org/10.3390/math8071053.

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The study develops alternatives of the classical Lee-Carter stochastic mortality model in assessment of uncertainty of mortality rates forecasts. We use the Lee-Carter model expressed as linear Gaussian state-space model or state-space model with Markovian regime-switching to derive coherent estimates of parameters and to introduce additional flexibility required to capture change in trend and non-Gaussian volatility of mortality improvements. For model-fitting, we use a Bayesian Gibbs sampler. We illustrate the application of the models by deriving the confidence intervals of mortality projec

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Dissertations / Theses on the topic "Lee-carter models"

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Sulemana, Hisham. "Comparison of mortality rate forecasting using the Second Order Lee–Carter method with different mortality models." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-43563.

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Mortality information is very important for national planning and health of a country. Mortality rate forecasting is a basic contribution for the projection of financial improvement of pension plans, well-being and social strategy planning. In the first part of the thesis, we fit the selected mortality rate models, namely the Power-exponential function based model, the ModifiedPerks model and the Heligman and Pollard (HP4) model to the data obtained from the HumanMortality Database [22] for the male population ages 1–70 of the USA, Japan and Australia. We observe that the Heligman and Pollard

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Eriksson, Christoffer. "Multi-population mortality models in the Lee-Carter framework : an empirical evaluation on Sweden's 21 counties." Thesis, Uppsala universitet, Statistiska institutionen, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-412874.

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Dias, Rui Miguel dos Santos. "As projecções demográficas na (re)definição de uma rede de ensino superior em Portugal." Master's thesis, Universidade de Évora, 2012. http://hdl.handle.net/10174/16004.

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A presente dissertação tem como principal objectivo o de dar um contributo, recorrendo a duas metodologias estatísticas (Lee-Carter e Booth-Maindonald-Smith), para uma projecção mais fiável das taxas de mortalidade em Portugal a médio prazo (25 anos), de modo a dar uma maior consistência às fases seguintes do projecto de investigação em que se insere. Mais especificamente, considerando os dados referentes a Portugal nas bases de dados da Human Mortality Database, pretende-se projectar o valor das taxas mortalidade, realizar comparações de resultados usando diferentes metodologias e analisar os

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Ramos, Anthony Kojo. "Forecasting Mortality Rates using the Weighted Hyndman-Ullah Method." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-54711.

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The performance of three methods of mortality modelling and forecasting are compared. These include the basic Lee–Carter and two functional demographic models; the basic Hyndman–Ullah and the weighted Hyndman–Ullah. Using age-specific data from the Human Mortality Database of two developed countries, France and the UK (England&Wales), these methods are compared; through within-sample forecasting for the years 1999-2018. The weighted Hyndman–Ullah method is adjudged superior among the three methods through a comparison of mean forecast errors and qualitative inspection per the dataset of th

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Cáceres, Valdovinos José. "Naturaleza del riesgo de longevidad : un problema estructural de las rentas vitalicias." Tesis, Universidad de Chile, 2016. http://repositorio.uchile.cl/handle/2250/142650.

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Seminario para optar al título de Ingeniero Comercial, Mención Economía<br>Este seminario de título explora la naturaleza de la longevidad humana y su comportamiento estocástico, as como su incidencia en el cálculo de las pensiones de vejez. De acuerdo a esto, el estudio discute dos de las principales posturas sobre el límite de la supervivencia humana; desarrolla los distintos tipos de riesgo presentes en este problema financiero en el contexto de Rentas Vitalicias, y examina el tema de las tablas de mortalidad como principal instrumento regulador de reservas técnicas para las compañia

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Delwarde, Antoine. "Modèles log-bilinéaires en sciences actuarielles, avec applications en mortalité prospective et triangles IBNR." Université catholique de Louvain, 2006. http://edoc.bib.ucl.ac.be:81/ETD-db/collection/available/BelnUcetd-03082006-131234/.

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La présente thèse vise à explorer différents types de modèles log-bilinéaires dans le domaine des sciences actuarielles. Le point de départ consiste en le modèle de Lee-Carter, utilisé pour les problèmes de projection de la mortalité. Différentes variantes sont développées, et notamment le modèle de Poisson log-bilinéaire. L'introduction de variables explicatives est également analysée. Enfin, une tentative de d'exportation de ces modèles au cas des triangles IBNR est effectuée.

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Mellkvist, Lars. "Den andres bröd : Levnadsrisk utifrån Lee-Cartermodellen." Thesis, Uppsala University, Department of Economics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-9227.

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<p>Under det gångna århundradet ökade den förväntade livslängden avsevärt såväl i Sverige som i övriga världen. 1900-talets förbättrade livslängd drevs inledningsvis av en minskad barnadödlighet medan de senare årtiondena kännetecknades av minskad dödlighet i höga åldrar.</p><p>En åldrande befolkning innebär ökade krav på sjukvård, äldreomsorg och inte minst pensionssystem. Pålitliga prognoser för vår framtida livslängd behövs för att beräkna de resurser som nämnda verksamheter kommer att ta i anspråk och utgör förutsättningen för en rättvis prissättning av försäkringsprodukter med levnadsrisk

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Bagackaitė, Jūratė. "Ilgaamžiškumas Baltijos valstybėse: tendencijos ir pokyčiai." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2014. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2006~D_20140702_190220-57936.

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Pastaraisiais metais beveik visose valstybėse stebimos visuomenės senėjimo bei ilgaamžiškumo tendencijos. Ši problema yra aktuali ne tik valstybinei pensijų sistemai, bet ir gyvybės draudimo įmonėms, mokančioms ar ateityje mokėsiančioms anuitetus. Šio darbo tikslas yra modeliuoti bei prognozuoti Latvijos, Lietuvos ir Estijos mirtingumą, įvertinti Baltijos valstybių visuomenės senėjimo tendenciją, atlikti anuitetų jautrumo analizę palūkanų normos bei mirtingumo tikimybių kitimui. Mirtingumo modeliavimui ir prognozavimui buvo naudojamas R. D. Lee ir L. R. Carter modelis. Atlikus duomenų analizę

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Chiacchiarini, Federico. "Modeling of workers’ compensation insurance under IFRS17." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20903.

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Mestrado em Actuarial Science<br>Este trabalho apresenta uma análise de como o novo regime contabilístico IFRS17 irá afectar o cálculo das Provisões Técnicas e do desempenho para a linha de seguros de compensação dos trabalhadores, com particular incidência nas questões de implementação prática. Serão também fornecidas comparações com o SII. Uma característica chave que distingue este LoB em Solvência II é que as responsabilidades são divididas entre técnicas similares vida (SLT) e técnicas similares não vida (NSLT), dependendo da natureza do sinistro específico. Isto significa que estas du

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Voghera, Siri, and Özlem Tepe. "The COVID-19 Pandemic and its Effects on Swedish Mortality." Thesis, Uppsala universitet, Statistiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-446239.

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This thesis analyses the COVID-19 pandemic’s effects on Swedish mortality during 2020 by investigating whether it has resulted in excess mortality. This is done using a stochastic mortality projection model from the Lee-Carter framework and by assuming the number of deaths follows a Poisson distribution. Due to the few confirmed COVID-19 deaths at younger ages, the decision is made to only include 50-to-100-year-olds in the analysis. Models in the Lee-Carter framework are fitted on historical data from 1993–2019 collected from Human Mortality Database and Statistiska Centralbyrån. After evalua

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Book chapters on the topic "Lee-carter models"

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Shamsuddin, Siti Nurasyikin, Nur Haidar Hanafi, Muhammad Hilmi Samian, and Mohd Nazrul Mohd Amin. "Chaotic Stochastic Lee-Carter Model in Predicting Kijang Emas Price Movements: A Machine Learning Approach." In Proceedings of the Third International Conference on Computing, Mathematics and Statistics (iCMS2017). Springer Singapore, 2019. http://dx.doi.org/10.1007/978-981-13-7279-7_65.

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Kou, Yefu. "Fuzzy Formulation of the Lee-Carter Model for the Mortality Forecasting with Age-Specific Enhancement." In Advances in Intelligent Systems and Computing. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-30874-6_18.

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Šimpach, Ondřej, and Petra Dotlačilová. "Age-Specific Death Rates Smoothed by the Gompertz–Makeham Function and Their Application in Projections by Lee–Carter Model." In Time Series Analysis and Forecasting. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-28725-6_18.

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Otto, Wojciech, and Jagoda Niemczynowicz. "Modelowanie dzietności: adaptacja modelu Lee–Cartera." In Modele w ekonomii. Księga jubileuszowa Profesora Wojciecha Maciejewskiego. University of Warsaw Press, 2020. http://dx.doi.org/10.31338/uw.9788323546375.pp.97-129.

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We present modified Lee–Carter models for modelling fertility. We analyse Polish Central Statistical Office data on total births by age of mothers in Poland from 1971 to 2018 and the age of mothers at the moment of giving birth to the first child in Poland from 1971 to 2017. Although Lee–Carter model was designed for mortality modelling and forecasting, we adapt it to highlight a direct relationship between the model parameters and the evolution of gross reproduction rate and the average age of giving birth to the first child, both in cross-sectional and cohort view.

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Conference papers on the topic "Lee-carter models"

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Kamaruddin, Halim Shukri, and Noriszura Ismail. "Statistical comparison of projection Malaysia mortality rate by using Lee-Carter model and Lee-Carter extension of Hyndman-Ullah." In THE 2018 UKM FST POSTGRADUATE COLLOQUIUM: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2018 Postgraduate Colloquium. AIP Publishing, 2019. http://dx.doi.org/10.1063/1.5111214.

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Safitri, L., S. Mardiyati, and H. Rahim. "Estimation of mortality rate in Indonesia with Lee-Carter model." In PROCEEDINGS OF THE 3RD INTERNATIONAL SYMPOSIUM ON CURRENT PROGRESS IN MATHEMATICS AND SCIENCES 2017 (ISCPMS2017). Author(s), 2018. http://dx.doi.org/10.1063/1.5064207.

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Aji, N. P., S. Mardiyati, and M. Malik. "Forecasting Indonesian mortality rates using by Lee-Carter model and Regression Linear model." In PROCEEDINGS OF THE 4TH INTERNATIONAL SYMPOSIUM ON CURRENT PROGRESS IN MATHEMATICS AND SCIENCES (ISCPMS2018). AIP Publishing, 2019. http://dx.doi.org/10.1063/1.5132468.

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Andreeski, Cvetko J., and Georgi M. Dimirovski. "Perceptron Model of Forecasting Life Exapectancy via Insurance Lee-Carter Mortality Function." In 2018 IEEE International Conference on Systems, Man, and Cybernetics (SMC). IEEE, 2018. http://dx.doi.org/10.1109/smc.2018.00437.

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Manulang, J. M., D. Lestari, and S. Mardiyati. "Forecasting Indonesian mortality rates using the Lee-Carter model and ANFIS method." In PROCEEDINGS OF THE 3RD INTERNATIONAL SYMPOSIUM ON CURRENT PROGRESS IN MATHEMATICS AND SCIENCES 2017 (ISCPMS2017). Author(s), 2018. http://dx.doi.org/10.1063/1.5064208.

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Zili, A. H. A., S. Mardiyati, and D. Lestari. "Forecasting Indonesian mortality rates using the Lee-Carter model and ARIMA method." In PROCEEDINGS OF THE 3RD INTERNATIONAL SYMPOSIUM ON CURRENT PROGRESS IN MATHEMATICS AND SCIENCES 2017 (ISCPMS2017). Author(s), 2018. http://dx.doi.org/10.1063/1.5064209.

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"A state-space estimation of the Lee-Carter Mortality Model and implications for annuity pricing." In 21st International Congress on Modelling and Simulation (MODSIM2015). Modelling and Simulation Society of Australia and New Zealand, 2015. http://dx.doi.org/10.36334/modsim.2015.e1.fung.

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ZAKIYATUSSARIROH, W. H. WAN, M. S. ZAINOL, and M. R. NORAZAN. "THE PERFORMANCE OF LEE–CARTER STATE SPACE MODEL WITH EQUAL AND UNEQUAL VARIANCE ASSUMPTIONS IN FORECASTING MORTALITY RATES." In International MultiConference of Engineers and Computer Scientists (IMECS 2015) & World Congress on Engineering (WCE 2015). WORLD SCIENTIFIC, 2016. http://dx.doi.org/10.1142/9789813142725_0004.

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