{"title":"混合随机Lee-Carter死亡率模型的命题","authors":"Agnieszka Rossa, L. Socha","doi":"10.51936/bvkn7774","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":242585,"journal":{"name":"Advances in Methodology and Statistics","volume":"120 ","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":"{\"title\":\"Proposition of a hybrid stochastic Lee-Carter mortality model\",\"authors\":\"Agnieszka Rossa, L. Socha\",\"doi\":\"10.51936/bvkn7774\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":242585,\"journal\":{\"name\":\"Advances in Methodology and Statistics\",\"volume\":\"120 \",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Advances in Methodology and Statistics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.51936/bvkn7774\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Advances in Methodology and Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.51936/bvkn7774","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Proposition of a hybrid stochastic Lee-Carter mortality model
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.
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