大年龄段随机死亡率模型的比较

IF 0.3 Q4 MATHEMATICS Matematika Pub Date : 2018-12-02 DOI:10.11113/MATEMATIKA.V34.N2.1014
S. R. M. Nor, F. Yusof, A. Bahar
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引用次数: 0

摘要

早期非线性模式的引入为改进现有随机死亡率模型结构开辟了新的研究方向。几位作者概述了在处理长寿风险暴露时,不忽视年轻和老年之间的依赖关系,涵盖整个年龄范围的重要性。在本研究中,我们考虑了凯恩斯,布莱克和多德模型的两个扩展,其中包括在较低年龄的Plat和O 'Hare和Li死亡率中看到的不规则性。对模型在样本内拟合和样本外预测方面的性能进行了检验和比较。结果表明,与Plat模型相比,O 'Hare和Li模型的性能更好
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Comparison of Stochastic Mortality Model for Wider Age Range
The incorporation of non-linear pattern of early ages has opened new research directions on improving the existing stochastic mortality model structure. Several authors have outlined the importance of encompassing the full age range in dealing with longevity risk exposure by not to ignore the dependence between young and old age. In this study, we consider the two extensions of Cairns, Blake and Dowd model that incorporate the irregularity profile seen at the mortality of lower ages which are Plat and O’Hare and Li. The models’ performances in terms of in-sample fitting and out-sample forecasts were examined and compared. The results indicated that O’Hare and Li model performs better as compared to Plat model
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来源期刊
Matematika
Matematika MATHEMATICS-
自引率
25.00%
发文量
0
审稿时长
24 weeks
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